Each time I turn on or off my VPN, it will ask for the permission "trying to modify this system network configuration"
First, click on the Apple icon on the top left corner and select System Preferences.
From here, you will want to go to Security &amp; Privacy.
Once here, click on the Privacy tab, and scroll to Files and Folder and if needed you can do the following action for Full Disk Access.
In the bottom left the corner, click the lock to make changes. This will prompt you for your computer password. Type that in and click Unlock.
Click the '+' button to add a new permitted application. Choose your VPN application here. 


First, try in the "Files and folder" option and if that didn't help then try to do similar action for Full Disk Access.