My router is a Netgear Nighthawk RAX70, Router Firmware Version V1.0.15.146.
I went to the ADVANCED tab, selected Setup->Internet Setup, then selected "Use these DNS Servers" and entered the address to my Pi-Hole in Primary DNS (Secondary and Third DNS addresses have been blanked)
Expected Behaviour:
I go to speedtest.net, and I expect to not see ads
is your router edge device from your provider? are you not setting up upstream DNS servers there? 'Internet Setup' would be my clue ... in its own odd way this might work but ...