The dot sounds like it may be privacy indicators, which appear as orange or green to indicate to you whether the microphone or camera are in use by an application on your iPhone.
About the orange and green indicators in your iPhone status bar - Apple Support
If a VPN is hiding that, that can be a privacy concern as you would be oblivious to what applications are using your microphone and camera. We do not know why that would happen with a VPN, but we do know VPN's are notorious for interfering with an iPhone, and are not suggested if it is a public VPN since they don't provide the heightened security as advertised, and actually sell your data to advertisers.
VPN: What you need to know - Apple Community