I mean not using whatever app your trying to pass mullvads dns through. Trying to see if it is the OS, or the other (firewall?) app causing your issue. That way you can file a bug report to the right place. If its your not your OS and mullvad works as expected its the other app. Might not be worth using depending on what applications your trying to lock away from the internet.

On my computer I had firefox set using cloudflare dns and also had mullvad handling my dns causing leakage. Well not really but I has two ip show up in dnsleaktest. One cloudflare and the other mullvad. Is your browser the issue here, can you set dns in the browser settings?