Laptop Auto Turns on "Location" setting

Hello, everyone!

I noticed that after a few software updates, my company is upping their security by introducing Zscaler, and, most recently, I've noticed my "Location Off" button sometimes gets reset to "On."

Through my travel router's VPN, my Microsoft logins are recognized as my VPN's set Location.

It doesn't appear anything has leaked from the Microsoft side, but can my company computer still leak information?

How might I sort this out?