Data saver no, I never use it. Do you also get a different country, far away from your IP address?
I just tested the VPN with microsoft com and it works just fine. When the IP address is in the US (77.111.246.51) I get the US site, when the VPN is set to Europe the Dutch site and so on. It's only Google and YouTube so far that ignore the IP address from the VPN and set my location to Russia, and by the way I am nowhere near Russia (like 1000 km away).