@mooncaptain Answering my own question:
All devices that use DHCP have No leaks. In windows I check the connection details with ipconfig/all and that shows that the Mallvad DNS servers are pulled in. My problem was with a statically configured workstation. For that I have to manually spec the DNS servers.
All is good - so far - since I am going to start messing around with the configuration to test fail over.