Hi ShedricWattsMason
Thank you for your service. We are working towards adding a 'Connected to : <VPN server location>' to make it easier for users to understand the VPN server they are connected to. Please note that the VPN feature availability is based off of your Microsoft 365 Personal/Family billing country while the actual connectivity is to the closest (most performant) available Defender VPN server which may not always be in your local country. In your case, if you are located in Korea, then we would have determined the closest Defender VPN server in India at this time.
With that said, in the coming months, we are working towards expanding our VPN service to more countries across the globe.
https://aka.ms/privacyprotectionfaq contains useful information on how Privacy protection works
Thank you!