Thanks for the replies, I did some additional research and apparently this is indeed the issue with the split-tunneling not working correctly in NordVPN, as I assumed it is the DNS issue:
The issue is related to Windows not being able to split the DNS requests. Even though the applications are using a non-VPN tunnel for the connection, the DNS requests are still going through the VPN tunnel for security reasons.
However, regardless of the issues with dns, for a music player not being able to play local music locally without the internet is terrifying, it’s just awful decision design-wise.
Maybe someone from the team can explain to me, why Roon on my laptop needs internet to access build-in speakers?