DeletedUser34
The Default method is Direct and is perfectly fine to use.
The other two are really just more so intended if something like say your ISP for example is trying to prevent you from connecting to Mullvad VPN servers. If you are connecting just fine with the direct option you should be fine just using that.
You could use the other options anyways but I'm not entirely sure how much that would benefit you if you don't need to circumvent VPN blocks.