For who is concerned with privacy they must start with DNS, because DNS queries are made in plain text, thus anyone in the network can see them, like your ISP, even if your ISP is not the one resolving the DNS queries for you.

Oh but I use a vpn like OpenVpn, thus I am ok, sorry but you aren't... read more about it here.

You need to go with DNS over HTPPS to resolve the privacy issue. On this article we can see how we can setup a home DNS server with a Raspberry PI and Pi-Hole software.