CIS at this moment only supports filtering of VPN traffic when using TAP protocol. Comodo is working on support for WinTun and WireGuard but there is no date when we might expect support for these.
What I wrote in the second paragraph about support for WinTun and WIreGuard was a mistake (I made a mistake while testing).
When using TAP adapter CIS will filter VPN traffic and acts exactly like it does without the VPN active. In that sense there are no special requirements when using CIS with a VPN.
Some people use CIS to act as a killswitch for then the VPN connection would fail. I don’t know from the top of my head how to do so but a search may show up topics about this.
What would you like to test?