We believe DNS should be part of the traffic and should not be enforced (only suggested) by the network, virtual or not. While manually setting DNS overules DHCP-provided DNS, this is not the case on most operating systems in the case of VPN-provided DNS. This affects all modern operating systems: iOS, macOS, Android and Windows.
If you also believe this, please suggest the expected behavior directly through the support/feedback platform for your operating system: Feedback Assistant for iOS/macOS, Feedback Hub for Windows or Android Issue Tracker for Android.

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Workaround

You can set up dns0.eu inside your browser instead of at the system-level. This is only possible on Windows and macOS.