Does CleanUp! remove all those pesky DLLs?

No, CleanUp! does not delete any DLLs and neither should you. DLLs - dynamically linked libraries - are parts of applications that are needed in order to run those applications. There are quite a number of "old" DLLs that are essential to Windows. In other words, if you delete them you will not be able to run Windows.

Do not delete any .dll files (DLLs) unless you really know what you are doing.

The correct way to delete DLLs is using the Uninstall option for a specific application that you no longer intend to use. A well-behaved uninstall program should remove it's application-specific DLLs (though it may well leave "shared" DLLs).