When you connect the VPN then there are two active connections that likely have different firewall profiles. You can check this in Control Panel\Network and Internet\Network and Sharing Center. By default the firewall profiles apply to all connections which means in this case they'll overlap but you can open Defender Firewall, then properties (right-hand pane) then on each profile tab choose Protected Networks Customize and uncheck those that don't apply. Then you can enable ICMPv4 for the VPN profile.
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