If I open one of my Office 365 programs (Word, Excel, etc) while the VPN is connected, the Office 365 program reports that there is a problem with my account and offers to fix it. If I accept, it then attempts to contact Microsoft but reports that I am not connected to the Internet (which is clearly wrong). It displays an yellow triangle. 
If I now disable the VPN, and restart my Office 365 program, the problem is not repeated. It appears that Microsoft doesn't like me working behind a VPN?