MACBOOK BUILT-IN VPN CONNECTION.
How do I establish a connection using the built-in VPN on my MacBook while McAfee Antivirus protection is installed. McAfee does not support VPN software for MAC products.
Connect your Mac to a VPN - Apple Support
Set up a VPN connection on Mac - Apple Support
These are support articles which should help you, if your internet security system is blocking it, then you will need to temporarily disable it or contact them for further support.