This has no effect to PiHole and Unbound, nor will it impact how your local network clients resolve their DNS request. This is a setting for the operating system only.
Unbound by default will use the global root DNS server and there is no need to change anything.
The real web site filtering will be done by PiHole and there you would need to set which filter list to use. There are a hell of list available that could be added to PiHole. An example collection would be Fireborg
To be able to use PiHole, your local network clients would need to use PiHole as their DNS server. Did you already configured your network clients this way? Depending on your router, you could destribute PiHole DNS server using DHCP.