Sometimes I’m more stupid than I really am. 
Thank you all for clarifying. Sounds appropriate that the data travels from the WebDAV to the router to the machine with DevonThink. That is how any data travels between two LAN computers I suppose. So the first request goes to the DNS server and then all internal.
And as you said, if I get to set up the PiHole some day I can tinker a bit more and set the DDNS address to route to the router, although I would think that in that scenario, the PiHope DNS server will check with the outside server once and then cache the DDNS entry for some times at least.
Now I need to setup the Letsencrypt certificate on the NAS.
Thank you!
I don’t understand what advantage you’re expecting from that setup. The one DNS request that goes to your DDNS server now then goes to your PiHole. Which gives it the exact same IP address the DDNS server provided before. If you want to have any advantage at all, you’d have to make the DNS record for the DDNS entry point to your WebDAV server.
But: you’d have to deal with different DNS setups on your mobile devices. If they’re in your local network, they have to use your local DNS server. Out in the world, is the default server.
If you’re so inclined, you can certainly learn a lot about networking by setting up your own DNS server (which I always dreaded as one of the dullest things to do 
. But all that for a single local machine?
The idea of setting up the PiHole is not for DNS speed but for its ability to eliminate unnecessary traffic from trackers etc. At least that is what my current understanding of its benefits are.
What “trackers” do you mean? I’m all for privacy, but short of your PiHole copying all DNS data for all root zones, it will have to delegate requests to authoritative DNS servers. So these servers will see, what you’re asking for. In the simplest case, the DNS server of your internet provider will see them. And here we’re talking about resolving the public IP address of your own router.
It’s good to learn about network setup and configuration, and the PiHole might be a good learning environment. But I very much doubt that it does anything for your privacy. If you’re concerned about that, an encrypted DNS server might be way better. I think Cloudflare offers something like that: https://www.cloudflare.com/learning/dns/what-is-1.1.1.1
Re PiHole - interesting. Seems like you know it better. I was thinking that if there is a blacklist of domains or IP addresses (?) that my browser is making requests to, and if PiHole can simply nullify those requests then useful?
Although agree that it is a side topic and PiHole is not relevant to this topic.