Privacy researcher debunks Microsoft Edge’s free VPN marketing, says it's "NOT a VPN"
(www.windowslatest.com)
The original use case for this stuff was unencrypted HTTP with a public WiFi connection, in which case your ISP is the owners of whatever shop you're in and yeah they could see everything.
If you're at home or whatever it offers effectively no benefits, doesn't "block trackers" or whatever nonsense like Nord claims, but I don't think Microsoft ever claimed that it did.