Thank you for
reaching out on the community and telling us about your issue. Have you had it work previously? Generally the reason this happens is your original IP is the ones that generally pings the quicken servers. The VPN on the other hand is an unknown one that servers don't recognize causing it to not download. You if you would like to download using your VPNS IP instead you should be able to do so by signing out of quicken and signing back in although this is dependent if the IP stays static. If the VPNS IP Continually rotates then you'd need to sign in/out repeatedly each time. If you do want to try it I'll leave some steps down below on how to do so but it likely isn't the best option.
Please let us know
if this helps resolve the issue for you.