Make sure that:
DNS Filtering service is licensed under Gateway Services group on DEVICE | Settings > Licenses page. For more information, refer to Managing SonicWall Licenses section in SonicOS 7.1 Device Setttings Administration Guide.
If the license for is not activated, you get error message as shown below.
DNS settings are configured on:
For more information, refer to SonicOS 7.1 DNS Security Administration Guide.