[emsign]

This is why you should want to block advertisers and trackers via DNS right at your DHCP server as a first line defense. Better safe than sorry.

[qwertox]

I wonder if it would be illegal for MS to use their own DNS over HTTPS in order to evade being filtered out with let's say Pi-hole.

If I set DNS in network settings to be my own resolver I'm expressing my will to have all the queries my computer sent to that one resolver.