Hi TMJC, Welcome to the Microsoft Community. Microsoft has Privacy Shield, which is the equivalent of turning on a VPN. Privacy Shield uses encryption and authentication protocols to create a secure tunnel between your device and Microsoft's servers to ensure that your Internet traffic is protected.
This can cause temporary conflicts with VPNs already enabled on your device. Or if the network is unstable such as when switching networks (e.g. from Wi-Fi to mobile data), the VPN may be temporarily disconnected, resulting in this notification.
Generally speaking, Microsoft Defender and VPN can be used together. It is not recommended to ignore this notification, as a VPN disconnection means that your device's traffic may not be encrypted, which may pose a security risk. It's best to check and fix the problem to make sure the VPN connection is working properly.
If VPN is already enabled on your phone, try turning it off and then open Defender to see if the problem exists.
Try restarting your phone and opening the Defender app again to see if the problem persists.
I hope this was useful and please feel free to ask any questions you may have.
Best regards,
Ian - MSFT | Microsoft Community Support Specialist