Private VPN, but still the same IP/ location

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1

I watched this https://www.youtube.com/watch?v=ykzI5VGScvs on how to create a VPN, i followed the instructions and windows networking shows the vpn connection, when i connect to it, it shows my same IP and location through IP testing websites

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Is that not how the VPN works? If not is there a way to do that with azure?

I do use windscribe VPN but its constantly detected

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Thanks

2

the VPN tunnel is probably split - just google split tunneling and you can configure all traffic to route through your VPN

3

If you visit https://www.ipaddress.my, did you see the IP address from Microsoft?