Before you read the result
What Hotspot Shield documents about these signals
The points below come from Hotspot Shield's own app features and settings guide and its support centre articles. Knowing which setting sits on which platform is what separates an expected reading from one worth chasing.
Smart VPN decides what is tunnelled at all
Hotspot Shield documents split tunnelling under the second name Smart VPN, and it works in two opposite directions. Bypass VPN sends the apps and websites you add around the tunnel while everything else uses it. Route via VPN inverts that: only the entries you added go through, and the rest use your normal internet connection. On Route via VPN, an address check against a site you never listed is documented to show your own address.
Prevent IP leak is a Windows entry
The Advanced section of the Windows app carries four settings: kill switch, Prevent IP leak, local network and auto-protect. Hotspot Shield describes Prevent IP leak as stopping sites, cache or cookies from revealing your IP, and adds that your public IP has already changed the moment you connect. The Mac section of the same guide lists start on launch, auto-connect, always-on, notify on public WiFi, appearance, restore purchase and split tunnelling, with no equivalent entry, so which machine you are testing from decides whether that setting exists to check.
The switch has a different name on each platform
Hotspot Shield files the kill switch under Advanced on Windows, calls it Internet Killswitch on Android and Kill Switch on iOS, and describes each as blocking internet traffic while you are disconnected from the VPN. iOS additionally carries an Always-on VPN setting the guide says cannot be disabled, and which reconnects on its own. If a reading surprises you, the platform you are on decides which of those you are looking for.
Automatic picks the protocol for you
The protocol menu lists Automatic, Hydra, IKEv2 and WireGuard, and Hotspot Shield describes Hydra as its own proprietary protocol. Automatic is documented as picking a protocol for your network rather than leaving the choice with you. The transport carrying this session is therefore not necessarily the one that carried the last, which is worth noting when two readings taken days apart disagree.
A virtual location is an assignment
Hotspot Shield calls its servers virtual locations, and its support centre defines one as a way to change your location to a specified country by assigning you an address there. That is a statement about the address you are handed, not about a building you are routed to. Compare the country a geolocation lookup reports against the virtual location you selected in the app, rather than against where you happen to be sitting.