Hi,
Below is the response I received from F-Secure. I haven't started reinstalling as I'm not interested:
Thank you for the information provide. We have done several test (with Hydra protocol)
but could not find any issue with Windows’ Phone Link while VPN is active. This issue might occur
with your network environment.
What we can suggest is,
Uninstall and reinstall back F-Secure on both Android and Windows. Before uninstalling,
if you are using Password Vault, make sure to backup your password list first by exporting it as an encrypted file.
>> Exporting Password Vault data | Total | Latest | F-Secure User Guides
Or,
If reinstallation doesn’t solve the issue, you might need to disable VPN on your Android phone
whenever you want to have it connected with Windows Phone Link.