There should be no cost. Which game will constantly use DNS to resolve addresses after being launched?
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.)