Guided

I went through all the troubleshooting listed here: https://support.hotspotshield.com/hc/en-us/articles/115005293466-Why-can-t-I-connect-to-Hotspot-Shield-VPN-on-Windows- .
It does install a TAP network adapter and Eset should be picking up that network adapter . You might want to perform Step 9). in the above linked article and see if Eset alerts on a new network connection afterwards and the alert is for the HotspotShield adapter.
If the above doesn't resolve the VPN issue, you might want to open an Eset support ticket with whatever source you purchased Eset from. Of note is Eset is not sold or officially supported in Iran. It may very well be that HotspotShield VPN is incompatiable with Eset.

The problem with the tool is it will show only the area where Win settings have been alerted; not what the specific change was.
Here's an example. On my Win 10 build, I modified system restore settings to do so only for the drive it is installed on; not for all the drives I have installed. When I run the tool, it only informs me that a change has occured to System Restore settings. If I run the tool, system restore will be reset to run all my drives.
Bottom line - if you are one that makes custom mods. to Win settings, this tool will remove all your custom settings.