Hello, all, I’m having the same problem. I’m a long-time Comodo CIS user. Two weeks ago I upgraded ProtonVPN to the latest version on my Windows 7 laptop. Well it seems the latest version has WireGuard, and so with Proton VPN enabled everything bypasses the firewall. I just figured out this problem today after hours of frantic searching.
Proton VPN in its wisdom did not tell its users that Wire Guard bypasses firewalls. My firewall is more important to me than my VPN so I have a choice of downgrading Proton VPN to the previous non-WireGuard version & deal with the nag screens, or find another VPN provider.