When I connect to a VPN, the icon that appears on the indicator is missing. I am using Ubuntu MATE 20.04 with the Radiant MATE icon set
I am guessing there is no icon in your icon set for the VPN you are using and that is what the red circle with the line through it indicates your VPN. (you give almost no information).
You can download a .png icon and set that if you want and as root save it to user>share>icons.
Go to system>preferences>look and feel> click on the VPN and properties. Open the square box with the icon and navigate to user>share> icons to set the icon.
Here is an example I downloaded. You can use it, or look for the correct icon, like Nord VPN.
Hope that helps.
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