[Question] How to allow local DNS resolvers using Windows openvpn.exe version?

Hey,
I would like to use a local DNS server for Open VPN network adapter.
I've tried to connect to a VPn server using a command line:
openvpn.exe --config al.ovpn
Then I change DNS servers using a PowerShell command:
Set-DnsClientServerAddress -InterfaceAlias "Open VPN adapter name" -ServerAddresses ("1.1.1.1", "8.8.8.8")
and DNS resolution work perfectly fine:

nslookup google.com
Server:  one.one.one.one
Address:  1.1.1.1

Non-authoritative answer:
Name:    google.com
Addresses:  2a00:1450:4001:827::200e
          142.250.186.46

However, if I set local DNS server using a PowerShell command:
Set-DnsClientServerAddress -InterfaceAlias "Open VPN adapter name" -ServerAddresses ("127.0.0.2", "127.0.0.2")
DNS resolution doesn't work:

nslookup google.com
DNS request timed out.
    timeout was 2 seconds.
Server:  UnKnown
Address:  127.0.0.2

DNS request timed out.
    timeout was 2 seconds.
DNS request timed out.
    timeout was 2 seconds.
DNS request timed out.
    timeout was 2 seconds.

It seems there is some kind of additional protection (maybe a leak protection) that block UDP requests to the localhost.
I wonder how to configure open vpn connection to allow DNS requests to the localhost?

P.S. I have tried OpenVPN Connect app (Windows version) and found special settings for this case:

When the checkbox is checked, I can change DNS server to the local one and it works.
When the checkbox is unchecked and DNS resolution doesn't work, app logs has additional rows on a connection start:

...
block IPv4 DNS requests to loopback from other apps
block IPv6 DNS requests to loopback from other apps
...

Does openvpn daemon vesion has this feature? If yes, how I could disable it?