Thank you for the information, like has already been said I think the notification from ESET is a side affect of something else that is changing the domain suffix when connect to the VPN.
Something that might be of consideration is disabling the 'Auto-Detect' proxy configuration in Chrome / IE which will then stop the browser from looking for these configurations as 'wpad.domain.com' is the default search browser use if this setting is enabled and the information is not provided via DHCP. This should fix the issue for anyone that is still seeing this on their machine. Please note to disable the setting a browser restart will be required.
As @Marcos said the IP will be unblocked, if anyone is able to test the solution above that would be appreciated.