UPDATE: I had a second app stop working when the VPN was connected. ExpressVPN support had me try to change protocols with no luck. However, I *did* get a good answer about the app from support. I'll need to wait until my friends wake up, but this might also be the solution for the MMS issue:
To resolve the issue, please turn off the "Network Protection" feature on your ExpressVPN app by doing the following:
1. Tap "Options" then "Settings".
2. Tap "Network Protection".
3. Toggle off "Block internet when unable to reconnect to VPN".
Once you're done with using the apps you may toggle on "Block internet when unable to reconnect to VPN" again.