This "service" is just another word for internet censorship.
They clearly state in the ToS that all the data is shared with 3d parties, so it's black on white:
We share anonymized data on specific domains (such as domain, timestamp, geolocation, number of hits, first seen, last seen) with our threat intelligence partners. Please note that this information does not contain source IP information or any other identifier that would directly identify the end user or their organization.
In addition, as a default, users of the service will be blocked from unknowingly passing origin network data through to authoritative nameservers, which is a privacy leakage issue about which most people are unaware. There are specific methods (IP addresses different than our “primary” addresses) which allow this feature to be selected for re-activation, and end users selecting these alternate resolution IP addresses accept the risks of this information being transmitted to end authoritative nameserver operators or intermediate interception potential.
Users are welcome to censor their internet connection themselves by using this or other services such as OpenDNS.