This is presumably a third-party app, meant to serve as the system VPN, intercept all web traffic, & identify trackers?
Make sure the app is indeed using your system' VPN slot, enabling 'always on' & 'block connections w/o VPN'
Ensure the app itself has network permissions enabled
At this point, the app is configured to work as any other system VPN. If you continue to have issues, it's within the app itself