Using DMZ settings then is an excellent way of freeing up your console's connectivity to the internet at large and therefore other gamers, which is after all the crucial factor in being able to game online without lag.

Does DMZ increase speed?

It should be noted that DMZ or DMZ Host does not improve the performance speed or latency of your router's connection to the server. ... Although your PC or server machine may have other software firewall, the router acts as your first line of defense.

Does DMZ help with gaming?

DMZ can be used as an alternative for port forwarding all ports. Enabling DMZ server eases the traffic for gaming devices (XBOX, PlayStation, Wii), DVR (TiVo, Moxi) & devices connecting to the Virtual private network.