I’ve had mixed results, but best by excluding Roon from VPN on both server and client machines. On my PC running Roon Core, I exclude both roon.exe and raatserver.exe. On the client Android device, I exclude the Roon app (as well as other audio apps). Except for a short delay recognizing the Core, this seems to work well.
I’m using ProtonVPN, which allows such split tunneling. I don’t know if all VPN providers allow excluding certain apps or IP addresses.