When DNS proxy is enabled on an interface, the device needs to push the interface IP as a DNS server address to clients, so you need to configure the DHCP server manually; use the interface address as the DNS Server 1 address in the DHCP server settings on the DNS/WINS tab. The Interface Are-populate checkbox on the DHCP page makes this easy to configure; if the selected interface has enabled DNS proxy, the DNS server IP is auto-added into the DNS/WINS page.