Routers are usually hardware level optimized for throughput, filtering is inherently computationally expensive compared to routing (not crazy expensive just more than usually fits an FPGA), especially if you have to keep up multi-gigabit throughput

You could totally do it at the router, it would just become a more expensive piece of hardware and most people choose to cheap out

Most consumer routers don't offer this functionality out of the box, likely because manufacturers don't consider it essential for most users. There's no major technical reason it couldn't be built in though. You can already set up DNS sinkholing with OPNsense or pfSense if you don't mind running and managing your own router.

A Raspberry Pi 3b is adequate to run PiHole to do the job, or implementing AdGuard DNS.

However, these require a little skill and knowledge to implement.

Consumer routers aren’t built to do the job.

The german router "FritzBox" recently did implement this.
A very rudimentary version of it but still.