Some apps do not detect an internet connection
It's either iptables, DNS or battery optimization related problem.
Because you've Knox on your Samsung device, acquiring root privilege is not an option in regard to warranty.

By the way, is your device activated with MDM? If it is, your administrator has enforced firewall policy configuration, proxy configuration, URL filtering configuration or Wi-Fi DNS policy or all of them, hence you are out of options.

If it isn't activated, but because you can't flush iptable's chains without root, try with removing VPN app and wiping cache from recovery. If problem persist, again - without root - your options are limited - hence you should factory reset your device and not install VPN app again.