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NightHawk RAX80 Router (won't let me list this new router in the model section! $400 router with no parental controls! Please add parental control option that all my previous less expensive netgear...
I too just discovered this issue. By going into the router UI Advanced tab > Setup > Internet Setup, you can change the primary and secondary DNS addresses to 208.67.222.222 and 208.67.220.220 respectively. Those are the OpenDNS servers. You would have to manage your filters through the OpenDNS dashboard web page for you account. It's certainly annoying to have to do this. I'm tempted to return the router and get an older model.