I caught a bug related to this in Project Zomboid in an early multiplayer version.

Often when someone joined a server there would be a tiny bit of lag for all of the users.

I figured out the server was using a java method that indirectly was doing a blocking DNS lookup. I think it was reverse DNS but I forget which method it actually was, and if it was blocking the main thread or just the networking thread.

(PiHole still wouldn't have created an additional cost though.)

This issue might relate to Java's URL class equals/hashCode doing DNS lookups which is specified in Javadoc https://docs.oracle.com/javase/8/docs/api/java/net/URL.html#... but reported by various linters such as https://errorprone.info/bugpattern/URLEqualsHashCode

Very likely URL.equals()

My question was meant rhetorically, but I guess there might be some even more interesting exceptions to this out there.

If anything, PiHole might make it go faster because some requests don't go to out in the world, wouldn't it?

That would probably depend on the the cache hit/miss ratio.