Setting up Next DNS with VPN

I am writing to know if NextDNS works well or do you have to make adjustments if you have a VPN for various filters?

Especially I see a setting on the Parental Control the Block methods to bypass the limitations, in this case de I use a VPN should I enable that option or not?

I pasted an image that is in Italian language, however it is to make it clear which item whether it is to be enabled or not.

I would like to understand whether the various privacy filters so for example Easy List, Adguard, HaGeZi - Multi PRO +++ work properly...