My E4200 firmware was updated to Ver.2.1.41.162351. Afterwards OpenDNS stopped working.
In troubleshooting the problem, I changed the DNS IP addresses to those that my internet provider normally uses. The E4200 worked fine with the new firmware and those default DNS addresses. But I then changed them back to the DNS IP address, and it would no longer resolve DNS.
I fell back to the previous firmware, and things resumed working fine with OpenDNS.
This seems like a mystery that the OpenDNS address won't work with the new firmware.