Hi,
a boring new user 
I have actually been interested in a HAP* for quite a long time. I am currently using another router that simplifies a lot of things for me. I can stop my sockets (Chinese stuff) from phoning home quite easily with the web filters without having to analyse the traffic. Anyway.
My current, but old, router uses this list (built into the router’s OS) for this: http://dsi.ut-capitole.fr/blacklists/index_en.php
Can I use this list in the router OS as well?
There are many ways to filter traffic with ROS, one would be to use address lists. However, the lists on link you posted are lists of domains and filtering the domains (more or less straight-forward) can be done only in L7 filters … And L7 filters are becoming more and more useless because everything is moving towards encrypted traffic where router doesn’t see the server name being targeted.
So my answer would be: no, you can’t use those lists. But some other forum member (content filtering guru) might come with a more positive answer.