It appears Microsoft has introduced a new connectivity bug to the February Cumulative Update to Windows 10 1903 and 1909, ie. any up to date version of Windows 10.
Microsoft has acknowledged a bug with KB4535996 with the following known issue:
Devices using a manual or auto-configured proxy, especially with a virtual private network (VPN), might show limited or no internet connection status in the Network Connectivity Status Indicator (NCSI) in the notification area. This might happen when connected to or disconnected from a VPN or after changing the state between the two. Devices with this issue might also have issues reaching the internet using applications that use WinHTTP or WinInet. Examples of apps that might be affected on devices in this state include, but are not limited to, Microsoft Teams, Microsoft Office, Microsoft Office 365, Microsoft Outlook, Internet Explorer 11, and some versions of Microsoft Edge.
As the entry notes, worst affected appears to be Microsoft’s own productivity software such as Microsoft Teams, Microsoft Office, Microsoft Office 365, Microsoft Outlook, with home workers using VPN particularly plagued by connectivity issues.
Microsoft notes that restarting your PC may mitigate the issue, but that they are working on a more permanent fix.
Recognising the impact on Work From Home users in this day and age, ZDNet reports Microsoft is planning to release an Out of Band fix in early April.