This feature works.
0. Premium version is required for country changing
1. You should add an exclusion web site clicking settings at the top of this window. Add it, choose enable VPN option. select country (f.e. Germany).
2. Then establish VPN connection with another country (f.e. Spain)
3. Open exclusion web site form step 1 via browser - you will see stab in browser "connecting to Germany server"
If this scenario doesn't work, please collect video and traces.