This doesn't have anything to do with running a local PiHole, it's just a feature of having a local DHCP server. Any typical home router also has a local DHCP s

This doesn't have anything to do with running a local PiHole, it's just a feature of having a local DHCP server. Any typical home router also has a local DHCP server, and if you change the DNS associated with the internet connection on the router this will be passed on to any device which connects via DHCP.