DNS leaks are very common on Windows if you connect using OpenVPN and you are using DHCP to assign your local IP and DNS servers. To solve the issue, set your DNS server manually instead of using the one assigned by DHCP. It's also a good practice not to use your ISP DNS servers. Full tutorial
here
On Linux, DNS leaks are common if you connect to OpenVPN from terminal by running "openvpn ./[server profile].ovpn". It will never assign the DNS server provided by the VPN server and you will need to run a script once the connection is up. Full instructions
here