E e my earlier post (copied below)...
Today I had a long on-line chat with McAfee technical support advisor. After the usual preliminaries ("Please enter the details of your issue so that we can provide the best support") and describing the problem in detail I got through to the advisor (who then asked me to describe the problem in detail so that he could provide the best support"). After about 30 minutes (including the time required to run a log from the Mobile Security app (and to find a way to get the 80+MB file to him) he told me that it was being escalated and that McAfee were already working on the issue...
"I had same problem on iPhone Xs, but it only started when I went to iOS 14.1. I wasn't aware of the VPN issue so tried resets and eventually tried a hard reset - which I couldn't do because I found the apple servers were locked out and it needs AppleID verification. I guessed it must be something to do with the McAfee VPN, and when I turned VPN off it seemed OK. When I turned the phone back on VPN was active again and had the same problems. So I went back to VPN settings and this time deleted the McaFee VPN configuration. I think if you don't do that the McAfee Mobile Security app Safe Web function remains active and switches VPN back on automatically."