Some or a lot of routers provided by the ISP do not allow that. Always best to get your own to make all the changes you want! lol
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Make sure you get the one from the Play Store from Cloudflare. It is not just their rerouted DNS, it is a VPN that uses their servers and it's a pretty good free VPN.
Nothing in life is completely free. There are some very good paid VPNs that tout no logging. YMMV.
You can use PIA vpn on a DD-WRT router. That way, all of your devices communications are secret from your provider. I have found PIA vpn to be an excellent service with excellent speeds and it's a reasonable cost.