Maybe it would worth noting what VPN is, and what are its most common use cases.
VPN is an abbreviation of Virtual Private Network. The main idea is very similar to a proxy server: you connect to a remote computer, and all your network traffic flows through that computer. When you visit a website, that website will see that remote computer making the request, not your phone. Then that remote computer sends back the website's content to your phone. (Note that this is not only about website traffic, but all network, including WhatsApp, Email, FB... everything that's using internet)
VPNs hide your identity, but note that you are sending all your network traffic to a remote computer first. When you send an email, your email goes through that remote machine. When you visit any website, the VPN owner will see everything you do.
For regular people there are 2 very common use cases:
1. To appear as a visitor from another country. E.g. if you visit and sign up for Netflix from a US VPN, you will get a different selection of movies than users from UK or France.
2. Companies more and more often let employees access the internal network using own device: they allow it using VPNs. Using your employer's VPN you can access your employer's network, but they also use it to monitor your activities while using it. For such usecases you would get specific instructions from your employers how to set it up.
While TunnerBear and ProtonVPN are considered safe apps (depending on what you use them for...), you might want to be cautious before setting up random VPNs, and sending off all your traffic and phone content to them - make sure to do your research.
For everyday general usage most likely you don't need VPN, it is safe to leave on None.
I encountered this error once, and it was easy for me to solve it. Go to the VPN connection settings under the "Security" tab, disable the "data encryption" item, and reboot your computer. If the error persists, try reinstalling the VPN connection. You should also check your computer for viruses. I often use a VPN because it allows me to secure my data on the World Wide Web and access blocked resources. However, I recently learned about such a feature as IP VPN detection, which allows me to locate any IP address. This kind of technology makes me feel omnipotent.