Okay, so each device must be passing its own DNS request through the router, rather than the router handling DNS for all devices.
I'm just trying to understand because I've never really looked into it too much what setup is best.
Myself, I really like OpenDNS, and all the DNS speed tests I've used indicate that it's the fastest for my location, and it does seem to speed up my internet speeds. (If you haven't already, you might want to try namebench
and see what it recommends for fastest DNS server.)
I configure my router to handle DNS rather than each device. (I guess at some point I'll have to look into if it's best to do it that way or by individual device, or if it really matters. No idea.)