[ani-ani]

This is due to Hyper-V, which is being rolled out on Windows 10 and required for WSL2. The OS is now running as a VM, and virtualized programs like WSL2 are running alongside - these VMs can't control each other's traffic. It's interesting that a feature meant to improve sandboxing actually makes firewalling and VPN more difficult, in its current state. I think the the proper fix is at the Hyper-V level, which might need to explicitly manage firewall and VPN features.

[Rapzid]

Windows 10 can control the Linux VMs traffic because it can control Hyper-V.

[pjmlp]

Nope, it can request Hyper-V to do stuff, just like any other guest.