It's a "DMZ Host", not just "DMZ".
In a standard network, the setup is like this:
[internet]
[firewall]
[DMZ]
[firewall]
[internal network]
The DMZ is where things like web servers go.
That's a corporate thing, though. In your situation, what that means is that it's forwarding all ports to the DMZ Host. I don't recommend setting anything to a DMZ Host unless you trust the computer 100%. For example, I'd never ever set a Windows computer to DMZ Host.
I don't think you'll get any speed increase, though. Maybe that was a coincidence?