Hey, I've just tested this on the same version and it works for me without any issues. If I go to a blocked/unblocked site when using OpenDNS (configured under the SSID as Content Filtering, not as DNS settings on the client) I still see the Captive Portal. Once I have authenticated and the initial re-direct was previously to a blocked site I see the OpenDNS blocked page.
The Captive Portal will only display correctly if it is able to get a valid response from the DNS servers. So if you have an upstream device which is blocking access to the OpenDNS servers, the IAP will not see a dns-reply and therefore the Captive Portal will not be displayed.