Netflix doesn’t actually let you know outright anymore if it has detected you’re using a VPN. Instead, it just changes the available content so you’re only able to watch shows that are available globally. This can also manifest as a glitch where certain categories or rows fail to load.
You’re not completely out of luck if this happens, though. Start by clearing your cookies and refreshing the page. This will delete any old location data and force Netflix to try to locate you again. If this doesn’t work, contact your VPN’s help desk and see if any servers have been specifically optimized to work with Netflix. Assuming none have, it may be time to look for an alternative provider.