Sorry for repeating someone's topic but I have the same problem and cannotfix it.
I've a problem when i try to use my Xperia z3+ dual as a modem. I tried to do this id different configuration: Xperia + HP laptop (Win 8.1 and Win 10), Xperia + Lenovo laptop (Win 7), Xperia + Android smartphone. In the first case i tried wifi connection, usb connection and Blue Tooth connection. The result was always the same - all the devices mentioned detected the network and connected to the network but either without internet access (can be seen in network properties) or sometimes with internet access followed by DNS error message in IE browser.
The mobile internet connection of Xperia itself was fast enough and stable. I also haven't problems in reverse direction (internet from laptop to Xperia).