It has become common in some Microsoft software when we use VPN there will be an internet connection problem.
I use OpenVPN for my VPN and the problem is actually due to the absence of the default gateway. And this solution should work on another VPN providers (eg. NordVPN).
The solution is very simple.
First go to
Settings -> Network & Internet -> Change adapter options
Choose the network device from your VPN. Right click and choose properties. Under Internet Protocol Version 4 (TCP/IPV4) click properties. Go to Advanced.
Add the default gateway from your router, mine is
192.168.1.1. Make sure the
Automatic metric checked. Then save it.
Now try to open your software that has issue with internet connection, the problem should now be solved .