See the terminal Help - https://www.metatrader5.com/en/terminal/help/algotrading/testing:
Remote Agents
The tester allows working with the unlimited number of external (remote) agents using all available computation powers. All you need for using an external agent is knowing the address and port for connecting to it, and its password.
To save traffic and disk space, as well as for security reasons:
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It means you can use DLL just on local agents. For that check "Allow DLL imports"
- Allow DLL imports — to extend their functionality, mql5 programs can use DLL libraries. This option allows determining a default value for the "Allow DLL imports" parameter when starting programs. It is recommended to disable import when working with unknown Expert Advisors.

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Hi developper team,
As dll are not allowed during optimization process, that's mean the same ea, if it is using a dll for some purpose (different than trading), can not be used in real and optimization process. As soon as an include clause is linking to a dll, all remote agents will failled during initialisation step. Can we imagine to add some conditionnal include clause as :
if(MQL5InfoInteger(MQL5_DEBUGGING))
#include "mydll.dll"
end if
Regards,
Olivier