LAN or Direct IP connectivity would be great, as a nod to the previous iterations, if not possible without VPN. I don’t think I would use it much or at all, but I’m sure there are some, like yourself, who would. I wonder if the world using IPv6 now, too, and not just IPv4, makes it harder … where the IP addresses look totally different. The world ran out of IPv4 addresses. It’d probably be another layer of complexity, anyways.
I can’t tell from your post exactly if you did a VPN workaround or not, but I figured I’d link to this, in case it helps at all: Setup of PCs on LAN game only AOE 2 DE
I get the exact opposite of this impression and it’s hard for me to fathom how this sentiment persists 
And I think it’d be more realistic to wait for final judgment until they’ve stopped doing patches and updates entirely, or slow way down with them. The two or three main post-launch patches have been huge, and I’ve heard in the forums another update is likely/hopefully coming before the end of this month; despite COVID-19 going on in the world, affecting many families, jobs, and lives.
After playing a handful of games in DE and then jumping back to HD, do you not see, hear, and feel a huge difference? The care and love is quite evident to me; but different strokes for different folks, I guess? There’s a lot more to the game than just MP, too. Getting a singular focus on one thing (your and some other players’ experiences with MP and/or a lack of LAN/Direct IP) would be unfortunate, because if you’re implying the whole game sucks and lacks love by the devs as a result of your MP experience, I feel that would be a little misleading/misguided.
I’m sorry you’ve not enjoyed it yet, but I’ve played MP just fine; used the lobbies just fine; played SP and campaigns just fine; installed mods just fine; participated in challenges/events just fine. Are there occasional glitches? Sure, but no show-stoppers that I’ve seen, and I’ll be patient with patches to fix and polish things up a bit. (Plus, I have other games to play, movies to watch, or things I can do if DE really frustrated me every time I played it.) My gaming experience with DE has, thankfully, been a lot better than yours, but, hopefully, patches come out soon to address what you’re wanting fixed or different, if it’s still salvageable for you.
Then again, I did just realize… if you happen to hate DE so much and see a lack of passion and love from Microsoft and the devs on it, and don’t see much point to playing it, would there really be much benefit to having LAN/Direct IP connectivity the way you’re wanting it to work? If the game as a whole is a waste of your time, would having LAN/Direct IP sans VPN all the sudden fix that? Genuinely curious. AoE2:HD still has LAN/Direct IP, I think – unless Direct IP was even removed from that – if DE doesn’t do much for you and your friends.
PS: There are a multitude of games where I’m left to speculate on if patches, enhancements, or new versions are being worked on 
Sadly, AoE isn’t unique in that respect 
PPS: The cash grab argument works more for Forgotten Empires content and HD version, imo, but I still wouldn’t really call them cash grabs. FE and its additional content used to be free long ago, then I had to pay for it when it came to Steam as an HD version, because FE’s multiplayer aspect broke and it wasn’t being supported (any attempts to contact them went into a void). Then each HD expansion pack was more $$ each time. On the other hand, DE is a night and day improvement in graphics, with new civs, new maps, new and enhanced audio including an orchestral soundtrack, AI work, MP work, FINALLY a zoom-out ability, visual effects added, etc. – and all without putting it into a new engine or a 3D engine that would totally ruin the feeling/vibe of the classic game. DE is far from a cash grab, imo, considering the magnitude of work that was involved and all that has and will likely come with it.