Clearly, you understand very much more about computing and networks than do I. However, one of the reasons I first became an Apple appreciator back in the days of the II+ and have continued to be so to the present day, is that Apple has continually provided not only high quality and aesthetically pleasing products but, more importantly for me, also made interfaces that work for - those who don't know ... - (Hypercard - the programming language for the rest of us) taught me much that helped me master relational databases some time later.)
So, for me, although your explanation makes perfect technical sense, it does not explain the lack of consideration for the user, particularly those who are not technically proficient. For instance:
The message doesn't indicate which 'network preference(s) is set inappropriately, let alone how to find and fix it.
The Apple Support explanation seems to indicate that it is purely a VPN issue when clearly it is not.
The inclusion of settings for protection "encourages" a user to take advantage of that protection yet Apple clearly know that in many cases this will cause the problem with content loading that it has ...
If, as you say, turning off all protection options will leave us no worse off than with the previous OS then what benefit does the change provide? - Why upgrade if one has to settle for how things were previously?
I sincerely hope that this does not come across as rude or abrasive. I don't mean it that way. I just feel a little disappointed that a company I have supported and held in high esteem for around 50 years, that began with a high priority on 'Human interface guidelines', seems to be less concerned with those in recent times.
However, I accept that despite my 50 years use of Apple computers, I know very little, so perhaps I am being unfair. I mean no offence.