On the desktop it does. But on Android things are maybe different ? Not directly related but I remember (long time ago) wanting to tether from an Android phone with Mullvad VPN app in use, to a computer, only to find out that the Android defaults (In Android not in the Mullvad app) needed a button swiped to make it work correctly on the other device.
Only if your Android connection is set to automatic DNS. Additionally, they are assuming it is an OS bug. However, they also acknowledge that they had to fix something on their app to mitigate. I tried myself with Wireguard instead, killed the network access to it, and nothing ever left my phone, as Android immediately killed all connections due to the VPN always on feature.
So, I'm going to take their claim with a grain of salt until AOSP says something about this and denies or confirms the alleged bug.