I can't get it to work either. I checked the Matrix room and there's another person who said the same thing about a month ago. So three people with the same issue.
I tried all the regular troubleshooting things, like granting permissions early, running with Google stuff already installed, exploit protection compatibility mode. Nothing worked.
I checked logs and nothing helpful there either. Not sure what could be going on. If your VPN provider has their own app, maybe it's easier to just use theirs.