Thanks Mark, I had not read the article so that is interesting information. That said, I feel fairly secure since I use VPN 24/7. However, I may indeed take the specified domain approach you noted, if… if... I can get somebody to provide me those URLs!
I take it from your OP that you use some sort of VPN client on your OS? If so, does it have something like a "killswitch", preventing traffic from leaking through the regular gateway in case the tunnel fails? And have you tested for DNS leaks?
For privacy reasons I also prefer to run a VPN 24/7 for a long time. But only in specific subnets. For others, this is not possible or not intended (e.g. my VoIP subnet, or the subnet in which the FireTV sits). First, I had used the client software of the VPN provider. Later, I switched to using OpenVPN (open source). But finally, I wanted it as airtight as possible. Therefore, my router (Supermicro E200-9A, 16GB ECC) runs 30 OpenVPN clients to form a gateway group on pfSense. Subnets that are supposed to use VPN have specific rules to tag their traffic with a VPN flag. A floating rule assures no tagged traffic ever leaves the standard gateway (even if all 30 OpenVPN clients should fail, no traffic would leave the standard gateway). In addition, I have a dedicated DNS resolver (talking directly to the DNS root servers) in its own subnet, sending all of its requests (be it on port 53 or 853) through the VPN gateway group, and therefore preventing DNS leaks.
Basically, my network infrastructure ensures VPN is run 24/7, and my DNS is entirely from within the VPN, without any client having to do anything, no need to start any software and monitor it constantly in fear it might fail...
So, this might be an idea for you, in case you want to make the whole setup more transparent, have less user interaction and no client software on the OS, and hence, less potential for failure.
Anyhow. I never had any issues with MC over VPN. Granted, I don't use Firefox (but MC doesn't use it too, does it?). All works fine, when it needs the internet (which is only when MC is supposed to get Movie & TV info etc. or has to update itself). 99% of the time though, MC does not have any internet access privileges.
If the Firefox setting affects MC (which uses Edge, if I'm not mistaken), then it should affect other software too. Does it? If it does, then this is not correct in my books. It should point out that it'll make a global change and make the user aware of the potential consequences. And as this is a default setting, it probably just does it during installation, without any opt-in? Not good. At any rate, something's seemingly not really working smoothly on your system's network part. One browser's settings aren't supposed to affect another browser (or other software). The network settings of the OS are the place to do those kind of changes.