I've had similar issues with QMK VIA-enabled keyboards with a Lenovo dock but it would occur when I plug the keeb on USB 2.0 ports. Switching to USB 3.0 solved it for me. Reflashing without VIA and nkey roll over support also fixed it from what i remember.
The Wireguard client is good enough. I wouldn't trust VPN providers' custom apps to be as secure, privacy-focused or reliable as the official client ones.