I currently use an MX 64 for my home network. It handles DNS, web filter for my kids, DHCP, and VPN for access to our internal NAS box remotely as we travel alot. We do not use any QOS, AD, or Firewall rules on the appliance outside of the defaults.
Since we often are on our home network we also have Mullvad as a third party VPN provider for inbound/outbound traffic. When we are behind the MX we cannot use Mullvad (OpenVPN variant) to connect to Mullvads servers.
Where should I start troubleshooting?
Follow the packets: take packet captures on your device and tthe MX and see if it's eating the packets. If it is, disable all security features and try again.
It appears that with no changes, its allowed through this time.
How would I go about testing to make sure the web filtering is still happening on the device with a Mullvad VPN connection established?
If your web traffic is going through the VPN service terminated on your device then the MX filtering will not apply to it (a side-effect which is arguably the whole point of the VPN service).