In terms of actually preventing potential threats via DNS, I'd say both are similar in this regard.
However, I haven't seen any head-to-head comparisons that (dis)prove this.
Remember that Cisco Umbrella is, itself, a DNS server.
We are not a DNS server, though with dnsmasq being officially supported in R82 (it's also available in earlier releases, albeit through an unsupported process), that isn't entirely true any longer.
Our enforcement for DNS-related protections require us to be inline with the DNS server (i.e. so we can see requests).
This also changes some of the functions needed (for example, to see DNS over HTTPS, this must be handled inline via HTTPS Inspection, which we do in R82).
Which means, if you're looking to replace Umbrella, you need to understand how it's being used in your environment.
Another thing to consider is, if you're using any FDQN Domain objects or Updatable Objects in your policy is that DNS server used by the clients should be exactly the same as that of the gateway.
Otherwise, the IPs for, say, cdn.example.com might resolve to a different IP, which creates enforcement issues.