The 3DEXPERIENCE Platform itself does not require a VPN connection.
Neither does licensing of the 3DEXPERIENCE SOLIDWORKS role (SOLIDWORKS Connected).
A standalone SOLIDWORKS Desktop license connected through the Collaborative Designer for SOLIDWORKS role does not require VPN either.
However, if you are using a network-licensed version of SOLIDWORKS Desktop with a Collaborative Designer for SOLIDWORKS role on top. Then a VPN connection would still be required when launching SOLIDWORKS and acquiring a license.