Whatsapp notifications bypassing Nordvpn despite "Block connection without VPN" on Android. How to resolve?

I use Nordvpn on my Xiaomi Redmi Note 12. When Nordvpn is not connected I still receive notifications via Whatsapp "You may have new messages". When I then connect to Nordvpn the actual new message is shown.

How can this be resolved?

Note: "Block connections without VPN" is activated on the OS level.