The devices you connect to with Wifi are connected to each other over your router's network. As soon as you turn on a VPN, the device you want to connect with another device on is in a Virtual Private Network and no longer on your router's network. The devices are not connected with the same network anymore. This is why they are no longer visible with the VPN on.
The only way to find all devices with the VPN enabled is to secure the network of your router with the VPN instead of a separate device. In that case, all devices connected to the network will go to the same Virtual Private Network and still be able to find each other.
We have some guides on our download page on how to do this for specific routers. If your router is not listed, we would like to hear which router you have, then we will check with our technicians whether GOOSE VPN supports that router and how we can help you.