Check your VM Network settings. i.e. Bridged Adapter, and the Name is set to an available network adapter on your computer. If you switch from wireless to ethernet or vice versa then you'll need to update the Name to be the new network adapter.
What this means is, the IP address of the VM is sent to the VPN router for resolution. If there happens to be a host w/ that IP address (unlikely, but you never know), then the login credentials you are sending along with the connect request definitely will not work. The more likely result is an unknown host error.
This is an issue w/ the VPN, not the VM.
The only solution is to disconnect from the VPN, then start up the VM.