Dancing links is a very cute data-structure for a backtracking search, but there are a lot more aspects of writing a good Sudoku solver than just having a good data-structure for backtracking. Propagation (making deductions), heuristics, learning, parallelism, restarts, no-goods, ...

While 9x9 Sudoku problems are trivial to solve for more or less any program, 25x25 Sudoku instances are quite tricky and a simple and fast but naive search for a solution can easily take hours.

For generating puzzles it's really useful since it lets you determine if a randomly generated puzzle has only one possible path to solving it (exact cover problem). And it's fast so adding it to a pipeline doesn't incur much if any overhead.