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 set

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.