Is it safe that sometimes my Anti-filtering program does not change the DNS address?
If your DNS queries are being resolved by your ISP, then yes, you should change your system DNS server to
DNS filtering is performed by the ISP, typically under instruction by a governing body. In this case, the actual DNS server queried is irrelevant, the ISP will drop any DNS queries for a particular domain name, preventing users from resolving it. This occurs irrespective of the target DNS server. However, if you are actually using your ISP's DNS server, then you are giving them a second opportunity to filter your lookups.
Your antifiltering software can work in one of two primary ways;