VPN is a secure way to access a network. The visual analogy is sending a Steel ball inside of a Steel tube. There is encryption going between the VPN server and the node. Once is in, it behaved like you are inside of the network. From there out, you use the network proxy server. That is how your home IP address changes when it goes in the cloud. If you open the local machine browser and depending how your VPN is set up, you will be using your local machine IP and browser. For example, Citrix creates a "vitual machine", your system becomes a glorified terminal. In that session, you think you are using your machine but in reality, you are accessing a node in the network, just like using PC Anywhere, Dameware, Windows Remote PC, etc... All the computing is done remotely; that makes possible the usage on slower connections. That is why when you open Citrix you might see a series of Icons for different applications. On that setup, you can use your local machine like you normaly would and the VPN Citrix on the side.
Try adding some IP addresses from another place proxy servers. The bad part is that can also be a monitoring site, a data collection point. You can try to see how it works.
https://www.us-proxy.org/
