Secure DNS is actually a Chromium feature that Brave just inherits. Most browsers support it. Brave is also working on Crypto DNS which goes beyond security to a decentralized model.
The VPN setup should make all DNS requests across your whole system go to their servers, if it's working correctly. You can check this with nslookup on the command line in Windows (I think it's installed by default...)
Assuming that's working, enabling the browser setting only slows down DNS lookups and doesn't provide any additional security, assuming your VPN provider can be trusted.