Windows doesn't provide privacy when it comes to DNS queries. It still uses old fashion, plain text DNS. Firefox is trying to protect its users from prying eyes.
Then complain to Microsoft, ship VPN software like Cloud Flare, and quit doing things in the browser that aren't browsing. This attitude that "I can suck functions into the browser" that do not take into account all the scenarios that OS vendors already have to deal with is a pain in the butt.
