Why is it mandatory to buy a VPN so that the game does not disconnect, I thought that when buying the game I would not have to spend more money?
First VPN, is not required, your having issues with your firewall from the sounds with it, but all issues put aside, most internet provides today offer free VPN service anyway just call your service and ask and if your a teen or kid ask your parents it no big deal.
There its been a reported issue there working on it its not your VPN theory. 
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I can provide free VPN for you, just dm me