Web Protection whilst using 3rd party VPN?

Hi,

I use a Private Internet VPN on my Windows machine all of the time, but recently it got turned off. During this time I got a number of Bitdefender notifications:

Online Threat Prevention We blocked this page for your protection: https://www.shouldiremoveit.com/NewBlue-Video-Essentials-for-Windows-18088-program.aspx

The page attempted to download a PUA (Potentially Unwanted App) to your device. This type of apps exhibit behaviors that impact the privacy and security of your device and data.

Once I turned the VPN back on, this threat was no longer detected. My question is "Does the VPN block this threat, or does it prevent Bitdefender from detecting it?"

Your thoughts would be gratefully received.