Certain websites do not load, but load under a VPN connection? DNS settings?

As I’ve demonstrated the answer itself fits standard DNS datagram size so if windows does not request additional data it will be able to resolve the host. Also windows machine normally runs local DNS cache service therefore it does not need to fetch additional data at once (it might be cached). Only if it’s missing.
In other words - windows does lazy dns recursion, linux does aggressive recursion. If you install local dns cache - it will also do lazy recursion (because it is cache).

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