I have the free limited version of KSC included in KAV. From several months to now, it is increasingly common that KSC connects to a Spanish server.
I use a VPN service to avoid tracking and to protect my privacy, but also to acces to blocked webs in my country. Then, I can't use KSC for the last utility an moreover I've problems to search with usual browsers.
I have always contacted with Kaspersky customer service, that recommended my, first uninstall KSC and install last version, but the last time, they said me that this free version use random servers, including Spain.
I think that a VPN service never should use a server of the country in which it is installed. In fact, actually I am using another free VPN without this problem.