It is up to any third party app (including a VPN) to make their app compatible with the OS it targets. It has never been the other way around where an OS, even Windows or Android, makes it compatible with a third party app.
If you look at your HOSTS file, you will likely see that it has been modified by the VPN and that is a security risk by routing network traffic to an unknown or untrusted source. A user has no idea what holes the VPN is opening on their computer, and it is up to the OS to protect the computer. If you think the VPN is providing security to your device, that is a false assumption and only a marketing tactic used by those providers to get them to purchase or subscribe to their product. A free VPN is always logging your data and selling it as a revenue source. They are not providing the service out of the goodness of their heart and generating income by giving away their product. I know they claim they do not do that, but you would have to be awfully naive to think they can make money by not charging you.
You are finding more and more services, especially banks, are blocking access to your account when a VPN is being used simply because of those inherent fraud risks. The legitimate reason a VPN is used is for a business to provide a private tunnel to their own users where it is a one to one connection, and that is a completely different approach taken by consumer level VPN providers making a claim they are offering the same kind of protection.
To learn more about the vulnerabilities of a VPN, here is some information you may find helpful. Both are heavily sourced, so they are much more than simply an opinion and you can easily fact check them.
