iOS can’t add some widgets to home screen
It won't work because it's not the right type of widget. NordVPN's 'Quick connect' widget is a 'Today extension', while for the widget to work on the Home Screen it must be a 'Widget extension'. This terminology is even more confusing since 'Widget extensions' can appear on the Today View (but only at the top, above the older Today extensions).
See e.g. the Human Interface Guidelines for some background, but it's all quite technical. I expect most major app developers to convert their extensions, but they do have to support users on iOS 13 and lower (where the new widgets won't work), so it might take a while.

NOTE
Today widgets designed for iOS 13 and earlier aren’t available on the Home screen, but remain accessible at the bottom of the Today View and in the macOS Notification Center.