If you use a VPN service Windows 8 and 10 are almost designed to bypass it!
The DNS is the "phonebook" of the internet and that means that you and your activities can be identified and monitored.
To avoid this and maintaining your human rights you need to tunnel the DNS traffic through a proxy.
Most VPN services do this today but Windows is the OS most prone to leak:
Under Windows 7 all DNS requests were made in simple order of DNS server preference, but this changed in Windows 8 when Microsoft added “‘Smart Multi-Homed Name Resolution” by default. This sends out DNS requests to all available interfaces, but only uses non-preferred servers if the main DNS server failed to respond.
This makes Windows 8.x systems somewhat liable to DNS leaks, but Windows 10 makes the situation much worse as it simply chooses whichever DNS request responds quickest. In addition to being major security risk, there are also reports of Windows 10 users suffering slow page loading and timeouts due to this issue
This has become so bad that US-CERT has issued an alert about it:
This IP leak is mainly a Windows 10 problem but it also affects Windows 8.