You disable the VPN, they show “unprotected”, come on, I’m not really unprotected, why such a dramatic word, I just disabled the thing a little, I’m “disconnected” but it doesn’t mean I’m actually unprotected, the same way it doesn’t mean I’m actually protected if I’m using a VPN.
VPNs don’t prevent a device from announcing its real location. And they protect you from a MITM at the ISP but not at the VPN provider, so you just switch who you trust. VPNs also don’t do anything to help with the browser fingerprinting that companies use to track you around the web. From the point of view of the services and sites you connect to, all a VPN does is change your IP address, and the IP address may not be a big part of how they track you in the first place. VPNs alone do not improve privacy much at all.
What VPNs do is shield your traffic metadata from inspection by the network hops between your client and the VPN provider (though the content is almost always enxrypted even without the VPN), and change your apparent location for any service that is exclusively using IP-based geolocation.