I experience the same issue. Here is my setup and the workaround that helps in my case:
- macOS Monterey 12.1
- Express VPN: Not connected all the time
- Gmail, Hotmail and iCloud mail accounts configured in Mail
- The macOS firewall is on under Security and privacy settings
- I do not use iCloud private relay (beta) or any other security software (AV, special firewall rules, etc).
Mail works ok if I do not connect to the VPN. If I connect to the VPN while Mail is open I start to get this msg but the messages still load fine:
View attachment 1936776
When I close the VPN connection I start to get this message and the messages do not load correctly anymore, I then have to press the infamous Load content directly button:
View attachment 1936779
The only thing that fix the issue when it starts is a reboot.
The only way to avoid this happening in my case is to close Mail before I use my VPN. I can open Mail again once the VPN app is closed and it works fine.
Looks like something gets broken in my case when the VPN disconnects.
As reported by others everything works ok on the iPhone, the use of the VPN on iOS doesn't have any conflict with Mail.
Hope this can help some of you.
EDIT 2022-05-02: A pair of months ago this workaround stopped working. Now every single time I launch and close Express VPN Apple Mail shows the message, even if I use the VPN while Mail is closed. The only thing that gets rid of the message now is rebooting macOS. This is quite stupid. I have contacted Express VPN and they say that their app isn't doing anything wrong and as they have no control over Apple Mail there's nothing they can do.