Microsoft asks if I have signed in from a different location

Yes. VPN software can make it appear that a sign-in is coming from a different location or even a different country than the actual physical location.

Microsoft detects unusual sign-in activity based on factors such as new locations, new devices, or new IP address providers. When a VPN changes the apparent IP address and location, Microsoft may treat that sign-in as unusual and trigger extra security checks or alerts, such as asking to confirm that the sign-in was really performed by the account owner.

If sign-ins from VPN endpoints differ significantly from normal sign-ins, they can be flagged as unfamiliar or unusual activity, which is expected behavior.

References:

• What happens if there's an unusual sign-in to your account
• View your work or school account sign-in activity from My Sign-ins
• How to access Outlook.com when traveling
• Simulate Risk Detections in Microsoft Entra ID Protection