Actually looks like he is using OpenDNS on the Xbox. Sometimes it faster for the Xbox to query DNS through the router, with DNS relay on because the router will keep a DNS cache (so I am told) and there for doesn't have to query out to your local DNS obtained through DHCP. But if your local DNS is slow, or if you not accesses the same servers, but different random servers, then its not going to be in the cache anyway, and its faster do have your DNS hard coded in the console.
Long story short, if OpenDNS set as static DNS in the Xbox is faster, keep it. :-)