As for search engine captchas, I never get them with Mullvad.

That has nothing to do with VPNs, and everything to do with how your browser “leaks” your user behaviour history.

Captchas go through your browser behaviour history and examine the clicks and pages you have gone through, how long you were on each one and how you scrolled through each page. Stuff like that. If that browser behaviour history reaches a minimum threshold of “human-like behaviour”, there is no test to pass. If it doesn’t, or there is no history to go after, you get a test.