That's not an excuse to run applications like that
At best, they're useless, typically, they track your browsing behavior, at worst, they inject harmful content into e. g. websites you visit.
This is a pihole/Adguard home type service with centralized blocklists. No more, no less.
As far as I am aware "they" cannot inject anything into any website. That would require some pretty nifty mitm attack.
I have not personally reviewed all of the code, but the people making AsusWRT-merlin that this router runs have a pretty good idea about it. I will let RMerlin speak on this issue, knowing more about this than myself.
It is definitely something to be aware of and consider for yourself. But just maybe people have some knee jerk reactions sometimes that are not helpful.