Hello,
I suspect this issue is primarily due to the settings on your VPN, particularly the split tunnel feature. When split tunneling is enabled, only specific traffic is routed through the VPN, while other traffic bypasses it. Although I'm not a network expert, I recommend consulting with your VPN provider to learn how to disable split tunneling. Additionally, it would be beneficial to carefully review the IP details on both ends of the connection when using the VPN.
As a test, you might also try disabling the Windows Defender Firewall to see if it resolves the issue.
I hope this information helps.
Best regards,
Karlie Weng