How about releasing a standalone VPN software instead of built-in vpn? It can offer more flexibity and stability. Built-in VPN have to work and configured with Brave browser and standalone application can continue to work and control more system resource even brave browser not installed or exited.
This kind of problem is happening with me too. When I open my website on brave it is normal only this thing is fine. But when I connect VPN and open it, there are lots of advertisements shown. Cache website is automatically cleared whenever I close the browser window.