Turning on "Block connections without VPN options" will not make KDE connect work. Your solution is, either to keep this setting turned off, or use Rethink using another device. By using another device, I mean, set up Rethink either on your router, or maybe an old Android with Rethink installed and using using it as a hotspot with "Allow clients to use VPN" option (which is available on LineageOS, but not on GrapheneOS). Or you can also set up something like piHole.
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if you use Android's built-in setting to set up DNS instead of using an app that uses the VPN slot, you might have more success.
also, you might want toggling "block connections without VPN" off in system settings, I had to disable it when using KDE Connect with Mullvad.
I'd like to use Rethink DNS (forcefully set to DNS+Firewall) because it keeps a record on-device of the connections that apps tried to establish. So as I understand it's not possible to have both then?
Right, the Mullvad app now has a warning that Android's "block connections without VPN" disables both split tunneling and local network discovery. So it must be off when using KDE connect.
Yes, I believe the issue comes from that(edit: tried disabling it and it was indeed that), ideally one would keep that setting on, I guess there's no internal Android setting to exclude on an app by app basis unfortunately
I also have Rethink as a permenant VPN. I set KDE Connect to 'excluded' and it works for me.
Do you also have "Block connections without VPN" on like this?