That's because DNS isn't performed on the modem/router or gateway, it's performed on each device. YOU will have to go to the network settings on the device you want to change the DNS on and set the DNS on it.
If you were a good networking tech, you would KNOW that. Each device when you start it up, reaches out and asks for the network settings. YOU can change those settings to manually have the DNS of your choosing.
Additionally, the DNS server cannot throttle you, and as for spying, they wouldn't need a DNS server to accomplish that because everything you do is going through multiple routers from you to the end point. ANY of those routers can monitor data flow, URL'S and ip addresses.
