Apparently, this is a thing. In the default configuration, Pi-Hole rejects some queries that are necessary for the YouTube watch history to be preserved. Luckily, there is an easy fix by whitelisting the following three domains in Pi-Hole:
video-stats.video.google.com video-stats.l.google.com s.youtube.com
Just go to your Pi-Hole admin interface, go to "Domains" and add the exceptions.
