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I have the same problem with VyprVPN. When the VPN is active I have no internet connection to OneDrive or the ability to retrieve from or save files to it. This has been an ongoing problem with Office 365 and is getting worse. The fault does not lie with the VPNs, but rather with the way MS Office and OnDrive determine an active internet connection. MS disavows any responsibility for the problem and offers no direct support which adds to the frustrations in solving it.