It doesn't? I thought it did tbh. When I got it working 2ish years ago I didn't have to add devices for it to work.
As of recently, when I add my "gaming PC" and hit "only VPN these services", it does absolutely nothing in google or anything. My IP and location do not change at all. Do I need specific ports for it to be operating on my gaming PC? I am also hardwired on that PC so I have a direct connection from the router.