As I said I don't use VPN but avast doesn't block, just monitors and alerts to infection, the web shield shouldn't monitor the VPN as that uses secure communication and not standard http protocol.
Are you sure that the error is coming from avast, can you post a screen shot ?
What is your firewall ?
Try pausing or terminating the Web Shield, though I can't see how that would get in the way. If no difference, try the same with the Network Shield don't disable both together so we can if possible pinpoint any interaction/conflict.