Because it's SLOOOOOOOW?!

So, you get a dozen milliseconds slower response time as you wait for the DNS request to come back (because OpenDNS' servers sit in the US and UK rather than a few kilometres from wherever you are), then no difference in actual transfer rate as DNS is no longer involved; instead you get unfiltered internet access. Seems like a decent trade-off to me - of course, I haven't actually tried using the service from outside Europe, I'll have to compare as I visit Vietnam during the next few weeks.
Google also has a DNS service, for those curious. I'm happy with OpenDNS and am not about to change.

Quite possible they're doing something.
Though about changing my DNS service since Telstra (my ISP) started redirecting non existent domains to an add laden search 'assist' page. Grrr. I understand this is becoming quite common now, but I just found it annoying :|
edit: Turns out, it may not be just my ISP, tried with the Google DNS and had the same result. Instead, it's AVG blocking it. claiming the site poses a threat. yay :\