You need to allow VPN Unlimited to run after the startup. To do so, you might need to add it to the exceptions in your firewall or antivirus software.
For example, to add the app to the Windows Defender exception list, the next time Windows Defender alerts you about the software, on the Action menu in the Alert dialog box, click Always Allow. If you are prompted for an administrator password or confirmation, type the password or provide confirmation. Read more about adding an exception to Windows Firewall here. You can also refer to our comprehensive guide on how to use VPN Unlimited on Windows.