Windscribe review
Windscribe's desktop app lets you pick which DNS service looks up website names. You can use Windscribe's built-in filter or bring your own DNS service. The setting I'd look at is Split DNS, which lets a few addresses use a different service from everything else.
Keep the built-in filter or choose your own DNS
In the desktop app, the Connected DNS setting is under Preferences and Connection. Auto uses Windscribe's R.O.B.E.R.T. filter. In Custom mode, you pick a DNS server and the built-in R.O.B.E.R.T. rules stop applying. To use those rules again, the help guide says to switch back to Auto and reconnect.
Send just a few lookups to a second DNS server
Under Custom, Split DNS lets you add a second DNS server and a list of domains for it to look up. The first server handles the rest. That's handy if a work site needs a particular DNS service. ZoogVPN covers a different decision on Android, where you can choose which apps use the VPN connection.
Anabel’s take
I'd leave it on Auto if I only wanted the built-in filters. If I needed a separate lookup for work, I'd add the one domain I had a reason to change and check that I could still open it before adding more.