The Mac app says 'VPN active' - is something wrong?

Nothing is wrong. Your VPN has taken over the Mac's DNS (that's what VPNs do), so the app's system-wide layer is paused on this machine and the app is telling you honestly instead of showing fake numbers. Your extensions and other devices keep protecting you, and system-wide blocking resumes when the VPN disconnects. See "What happens when my VPN is on?" for the full picture.