OpenDNS Umbrella roaming client software goes to "Unprotected and Unencrypted" status when a VPN connection is established

When connected to Wi-fi, the Umbrella roaming client works like a charm, and shows protected and encrypted status. As a result, web-filtering policy does take affect via the cloud to apply to laptop users when outside the network. However, when my users are connected via Wi-fi, and etablish a VPN connection, the roaming client will switch back and forth between protected and encrypted to unprotected and unencrypted mode. As a result, web filtering policy from the cloud does not take affect. If anyone is familiar with OpenDNS Umbrella, let me know if you experience similar symptoms. I have a ticket open with support, but they cannot resolve this issue.
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Henk van AchterbergSr. Technical ConsultantCommented:
did you configure exceptions for your internal domains: ?
jaedenoneAuthor Commented:
I am using the OpenDNS Umbrella product. I think you are OpenDNS dashboard. I do not see those options.

If anyone who uses the Umbrella product from OpenDNS experience this same type issue, please share your experience and workaround or fix for the issue I am describing.
Henk van AchterbergSr. Technical ConsultantCommented:
I do not use the Umbrella product but the DNS issue with VPN's is widely spread:

Can you test the solution in the like above?

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