You might be on to something. I have Private Internet Access on my MBA, and for work stuff I have FortiClient (not entirely sure how that works, as it doesn't seem to be a true VPN, it just allows me to access a work server remotely). I get the Mail issue.
My wife's absolutely identical MBA, also on Monterey, does NOT have the Mail issue. That machine has never had a VPN or anti-virus installed.
So the question is, how can I look at my packet filter firewall settings and compare it with my wife's MBA?
Edit: Actually, looking at your post above, it seems you've already tried this, and the problem persists?
I find the packet firewall hard to use. It's configured and its state is queried from the command line. You have to be root to do that. I suspect the firewall on your wife's computer is not even enabled. It would be interesting to see if yours is.
I'd start by running, on both machines,
sudo pfctl -s info
One of the lines output is prefixed with "Status". It will either show as "Enabled" or "Disabled".
I did run through the exercise of quitting PIA and disabling the firewall; it didn't fix the problem. But, these things can be finicky. I had already run Mail with the firewall enabled before I disabled it. Maybe a logout / login was required. Unfortunately, I have scripts in place that re-enable the firewall when I log in. So I have more work to do if I want to pursue this.