@andre.l @jcarucci
ACautionaryTale got it, here’s the temporary fix. Open System Preferences > Network.
Click the circle with the three dots and select “Set Service Order”:
Drag and drop whatever your primary adapter is to the top, this is what Express VPN tries to connect on. In my case, I’m using WiFi
Click OK, then Apply in the main network settings window. Sorry, I would include more screenshots, but I just registered.
The Studio Display creates a peer-to-peer connection with your Mac so that it can download software updates (because of course it can). That connection usually appears first in the network tab, and is what Express VPN establishes a VPN on. Since you can’t select the adapter in Express VPN, moving WiFi to the top of the list fixes the issue.