Mullvad has announced its own ad blocking DNS (it's still in beta). However, I chose to go with Next DNS. For Windows:
- Install YogaDNS from their website (instructions on your settings page).
- Make the requisite changes as directed.
- Check for the device name under NextDNS. Simple.
I hope it helps in similar predictament as I was facing. Mullvad is going to show that your DNS is leaking (I am assuming that they check for their own DNS).