Nope, I meant modem. howtogeek.com has a good explanation of modem vs router. Restricting the data at the modem keeps it from entering your local network (unless you are using a bypass via the MAC address filter).
You mentioned "Maybe they just meant via the Panoramic app," this third-party software isn't necessary because the modem's native software already has this capability.
The purpose of a blocklist is to remove temptation. If you can't trust your children to use the tools you make available to them responsibly, then they are not ready for that tool.