umbrella.opendns.com has no CNAME records.
Question and response
Question
dig umbrella.opendns.com. NS
Answer
The response has no answer records.
Authority
opendns.com. 10800 SOA auth1.opendns.com. noc.opendns.com. 1772906644 16384 2048 1048576 2560
Additional
. 0 OPT ; payload 1232, xrcode 0, version 0, flags 0