I have just noticed that OPENVPN works perfectly as expected and everything goes through Azure-ADGH.
But I want to use WireGuard instead due to the better connectivity speed compared to OPVN.

Would that give any clue?

Once I enabled custom DNS, both [DNS over TLS (Cloudflare or NextDNS) / Dnscrypt-Proxy Settings] greyed out.

I have already tested 3.214 and couldn’t notice a much better enhancement in the performance once ADG is enabled locally.