I have the latest stable MIUI.EU 12 for my Mi Note 10 (CC9 PRO) and I cannot connect to VPN on any app.
I tried turning off full-screen gestures and restarting my device a couple of times but it didn't work.
I also have the same problem. I tried turning off full-screen gestures and restarting multiple times, downloading different VPN apps but nothing worked.
I'm using the latest stable miui.eu 12 from my Mi Note 10 (CC9 PRO)