If you are attempting to use Split Tunneling via macOS, you may encounter an issue with the Split Tunnel System Extension being automatically disabled by default, which will cause the feature not to work as expected.
When the split tunnel extension is used for the first time in macOS, the OS pops up a one-time prompt indicating the user should allow the extension in system settings. This can sometimes be missed if the dialog is just closed, and not actioned at that time.
Here are the instructions on how to enable this feature if needed:
Command + Space
, type "System Settings", press Enter).
Further Reading
What is Split Tunneling and how to use it
Why doesn't the Windscribe iOS app have Split Tunneling?