Hello @Jarvis,
Thank you for posting your query on Microsoft Q&A.
You can safely disregard this alert if the application in question is a first-party application. For more details, you can refer to the thread linked below. I can confirm that Azure VPN is indeed a first-party application managed by Microsoft.
Additionally, you can find a list of first-party service principals in the following documentation:
https://github.com/merill/microsoft-info/blob/main/_info/MicrosoftApps.csv
I hope this information is helpful. Please feel free to reach out if you have any further questions.
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Thanks,
Raja Pothuraju.