I seriously doubt. As soon as you found the entry in the first list there is no need to continue searching for this particular name since you already know that it has to blocked.
In addition to that If I would be a programmer who has to design a DNS filter I would join all lists into the one in the RAM (got rid of duplicates at this step), build a hash table and use some sort of quick binary search over the whole list.

True. It also true that ANY DNS server which receives your requests naturally sees them.
Yes, security comes with some cost. For example, you can point to nexdns your cell phone (if it allows private DNS, Samsung S10 allows) and all dns requests will be examined by nexdns.
If one looks at how much telemetry is sent/received by Android he could be really surprised, since in my view, OSs for mobile devices is the least audited/ user controlled kind of OSs.