Shut down the VM, change the Network to Bridge Mode and then start it up again.
In NAT mode, the VM gets created on a virtual network that is natted to your local PC ip address.
The moment you connect to the VPN, you get a new address and your VM doesn't have communication to it. At the same time, the VPN client receives a list of known networks and default route. The known networks don't include the virtual one that your VM hangs on, so the route disappears.
By putting the NIC in the virtual machine into bridged mode, it will get an ip address on your local PC's network, and this local IP address will not be pulled across the VPN, and as such, will be reachable as part of your "local" subnet.
eg.. home router: 192.168.1.1 .. your PC 192.168.1.100 .. your VM now 192.168.100.101 ... but go to bridged mode.. you might get: 192.168.1.1 (your router) 192.168.1.100 as your local PC, and the vm might get 192.168.1.101 (note the 3rd octet!!)
To easily see the routes.. open a command prompt, and before you connect, do a " netstat -rn "
then connect to your VPN and do another " netstat -rn " this will show you the differences in your routing table, and if you look closely, should see what David Woodward & I are saying.