DansGuardian is still doing the content filtering that it always has. How domain lists should be or are being handled is a seprate question that the developers will have to speak to. You asked why DansGuardian is running, and that's the question I'm answering.
And in the case of the original concern, in my experience even with a categorized domain list in place, the HTTP proxy doesn't normally drive CPU usage to 100% and stay there. I can't speak to how it all responds under real world load because I have not done that, only a test enviroment. For me, the filesharing/domain service was easily the bigger resource killer of the two even there.