Just looking at the screenshot vs the dropbox tactic, you have the MR in the screenshot as a WMa while in the tactic he's a Winger on support. I'm assuming this is the position you're playing Mahrez in, so having him as a winger would be telling him to either cross more with his weaker foot or having him cut back to cross on his left. A right sided winger role wouldn't be ideal for him due to his right foot not being half as decent as his left.
Having him as a WMa to Cut Inside and Get Further Forward would be a bit more ideal for him as a player and give him a greater chance to assist or finish. His average position will end up higher up the pitch and his attacking play would be more like an Inside Forward, but defensively he'd contribute more than an IF. The WMa role also give you the flexibility of having him stay wide or narrow based on your style and opponent.
I'm assuming your left sided striker creates more and your right sided striker is Vardy. If you consider tweaking Mahrez like above, you may want to switch the roles of the strikers so the DFd is on the right and the DFs is on the left. That way Mahrez and your right sided striker don't attack the same space, and having the DFd on the right side would allow Mahrez to play some wall passes off him based on your PIs. The switch would also open up more space for your ML to be in. The PIs make it seem that the ML is going to create deeper than your MR, so if the left sided striker can stretch that side your ML will have a bit more space to be effective.
Possible Tweak: CBS to (D), MCL CM(S) , RB to FB(S)?
I'd look into changing one of the CBs. Based on your PIs, the left sided CB is the more aggressive one so you could consider changing him to a defend duty instead of cover. With two covering defenders and no DMC, you run the risk of giving too much room in front of the defence. This would allow more diagonal balls to be played from centre out wide for runners to get on to by running outside the fullbacks.
The MCL as a CMd is perfectly fine, you need someone to cover the defence and help stop/slow the opponent. The MCs should be viewed together and their roles together. A classic idea is the Holder/Runner pairing, the CMd holds, the CMs runs. The holder can't be cavalier as well or else you leave the middle far too open, and the runner has to run back and be a positionally good role or else your holder will just get overrun. The two roles work. Alternatively, you could try a BBMs for the MCR. Having the DFd on the right side will allow him to link up well with the MCR based on your PIs.
With your fullbacks, it's more a what do you like sorta thing. I don't quite get the Hold Position PI on the left fullback and if you do switch the MR to a WMa, your right sided fullback can't be too cavalier, though having both on support shouldn't hurt. You could try the left sided one with an attack duty if your left sided midfielder doesn't go too far up the pitch.
Known problems: FBs are quite weak, always miss interception , maybe it's due to AM's OI?
Assuming you mean that the fullbacks are weak because they're missing their interceptions, why are they missing the interceptions? Where are the passes being played from? Are they stuck under the ball? Out of position? Do they get sucked up to close down someone and get passed around?
Hope this helps.
