I doubt very much that it is sending anything to Trend Micro for the purpose of screening. That would impact performance too much. I do have the feature turned on, and have noticed no difference in performance, no delay in bringing up pages, etc.
On the other hand, if it does discover something then I would presume it would send a report to TrendNet, at least for the purpose of collecting statistics. More transparency would be nice. It would be nice to know if and how this information is anonymized.
I am not using a DNS protection option. All that is really doing is setting your DNS to an alternative provider that provides filtering, and giving you some nice checkboxes that match the options available on those services. It's just putting a pretty face on it. You switch the DNS to, for example, OpenDNS, manually (override DHCP) and then go sign-up at OpenDNS and set your categories. Big whoop, it puts everything all in one place.
In theory, this should not impact performance, since you need to do DNS anyway. There might be some performance loss (or gain) because then you are not using your ISPs DNS servers. Many people find, for example, that Google's servers are more performant than their own ISP's DNS.
It's hard to search for this, because Asus has recycled the term AIProtection. They've used the same term in the past for some kind of BIOS thingy on their motherboards. Something to do with over-clocking...