I find the Apple watch to be super annoying. Out of the box it reminds you to breath, stand up, go to sleep, etc. Like I was never able to do these things before by myself. Once I turned everything off it's a bit more reasonable doing the only things I really needed, which was to tell time and maybe let me know my pace when running.
IMO, getting any notifications (VPN included) on a tiny 1 inch screen are stupid and that's what I have a phone for.