Entware Pi-hole directly on the router? Yes!

[eclp]

For clarity - the dnsmasq config options have to be added on the router that is acting as DHCP using dnsmasq.add script.

I did, but unfortunately it didn't change anything (But maybe I made mistakes).

 

[jacklul]

I did, but unfortunately it didn't change anything (But maybe I made mistakes).

Have you confirmed that those two options were actually in dnsmasq.conf after dnsmasq restart / router reboot?

 

[eclp]

Yes, I restarted dnsmasq (not the router), also the Pi, but it had no effect.

 

[jacklul]

Yes, I restarted dnsmasq (not the router), also the Pi, but it had no effect.

How did you check it? It would take a while to be picked up as all devices cache DNS responses anyway, you would have to visit a website you didn't visit before to be 100% sure it didn't.
Does Tools -> Network list your devices?