https://github.com/openwrt/openwrt/issues/9726

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daemon.crit dnsmasq[1]: cannot access directory /etc/dnsmasq.d/: No such file or directory
daemon.crit dnsmasq[1]: FAILED to start up

Dnsmasq is running in a limited environment (procd-ujail), you cannot access any directory freely. The jail environment is controlled in /etc/init.d/dnsmasq, so you can either extend the script to accept custom directories to be part of procd_add_jail_mount, or remove the procd-ujail package, so that the secure/limited environment is not used at all.