ATP will look at your dns queries and will block them. If you are really concerned, you can use something like opendns as your forwarder and it will give you far more control over your forwarder also. There is a post on dns best practices by BAlfson somewhere on the UTM forum and a lot of those principals apply to XG.
I am not really sure other than ATP, how you would filter DNS queries. DNS caching/resolver server has one job, forward the queries or resolve them and then cache them. I am not familiar with the attack vector you are describing but it seems interesting.
Yeah I have had that happen with opendns also where it is complaining about 1000s of queries to malicious sites whereas atp is saying nothing. ATP relies on the data provided by sophos so I will leave it at that.
You will not get any arguments from me regarding logging. Every daemon in XG is very quiet for some reason and the logs provided in the GUI are not sufficient enough to troubleshoot basic problems.