A lot of firmware that comes stock on routers are junk. Don't forget lots of users switch to tomato, dd-wrt, or open-wrt.
Also, proper mac filtering will only block what you tell it to and not all of the internet. As Kafluke said, it's highly dependent on the router, but if you really want to do this route and your firmware is the issue, I'd look into seeing if I could put one of those on my router. I have met some routers who just do not like to run the other firmwares though (frequent restarts etc).
Basically, MAC Filtering uses a device identification number to block or allow only certain things, or everything, and require making separate rules for multiple applications. The guide is wrong when it says it will block everything except LAN. It's just some routers are trash when it comes to options.