That screenshot doesn't help. Show us screenshots of your VPN setup instead.
While I don't know specifically about a VPN, I know that for general usage, setting the WAN DNS servers to something like 1.0.0.1 and 1.1.1.1 for primary and secondary DNS servers takes away that 'error'.
I use OpenVPN. All traffic in my home network is tunnelled through the vpn service. I have a stable and fast internet connection but my ASUS fails to recognise my connection status. I use a DNS server that filters out porn.