Why can't the HP Smart software find my printer during setup when I'm connected to a VPN?

You cannot install apps from the Microsoft Store when connected to a VPN, which prevents HP Smart from completing setup. You should disconnect from the VPN before installing HP Smart software, and reconnect to the VPN after finishing printer setup. Note that you should consider your location and the security of the Wi-Fi network before disconnecting from a VPN. (Page 3)