I don't use VPN regularly (and no MySudo) and therefore have no long-term experience. However, I have just tested ProtonVPN + split tunneling briefly - it works for me (GrapheneOS Build 2024080200 | ProtonVPN 5.5.27.0).
That being said, i remember VPNs (and particular ProtonVPN) being mentioned in the latest release notes (Note I can't tell whether this is related to the problem you described- maybe someone more knowledgeable can clarify):
https://grapheneos.org/releases#2024080200
prevent VPN apps from having leaks to non-VPN DNS servers while not yet strictly preventing leaks to VPN DNS outside the VPN tunnel due to multiple VPN apps including Proton VPN not connecting reliably with stricter enforcement (in a future release, we can do strict blocking by default with an opt-out toggle and a list of known incompatible apps such as Proton VPN until the compatibility issue is resolved)
See also (there, too, it was partly about VPN):
https://grapheneos.org/releases#2024080100
and
https://grapheneos.org/releases#2024073100
(Both releades only made it to alpha channel)