VPN asking for Admin access

3rd party ‘protection’ software includes:

• Cleaners (software claiming to automatically free up space)
• Optimizers (software claiming to make your Mac run faster)
• Antivirus software
• VPN software (unless provided by a school/employer to enable access to internal resources from a remote location)

Such 3rd party system ‘helpers’, ‘cleaners’ and ‘protectors’ do more harm than good. In fact, such products are completely unnecessary for macOS and the only ‘good’ (if you want to call it that) they do is to put money in the developers’ pockets. Cleaners and protectors cause compatibility issues, often after macOS updates. Commercial VPNs claim to hide your browsing activity from websites, and while that may be true those VPN providers just sell your browsing data to others. For the user, all of these types of software offer only harm…and if that is limited to harm to your bank account, then count yourself lucky. If you have installed such software, follow the developer’s instructions to completely uninstall it (note that some developers fail to provide instructions and their software installs can be pervasive, meaning the only way to truly remove it is to erase your Mac, reinstall macOS then restore your user files from a backup).

If you want an alternative that won't sell your browsing behavior data, consider:

About iCloud Private Relay - Apple Support

Why do you think you need a VPN? It does absolutely nothing to protect your privacy or secure your data. That goes double for a non-portable machine that's used behind a residential or corporate NAT router/firewall.

So IMO, no. uninstall the VPN completely. It serves no legitimate purpose if it's not being used to connect to a secure private network such as your employer or school to access resources on their network.

Unless you're using a true VPN tunnel, such as between you and your employer's, school's or bank's servers, they provide false security from a privacy standpoint.  Read these articles:  Pubic VPN's are anything but private and Security Risks: The Dangers of Using Free VPNs (eccu.edu).    

Additionally a new study ("Apple Offers Apps With Ties to Chinese Military”) is specifically about VPN apps in Apple’s App Store.

I recommend uninstalling the VPN according to the developer's instructions. Then you can check to see if you've removed all of the supporting files by downloading and running the shareware app Find Any File  to search for any files with the application's or the developer's name in the file name.  For the XXXX files you'd do the following search(es): 

1 - Name contains  xxxx

Any files that are found can be dragged from the search results window to the Desktop or Trash bin in the Dock for deletion.

FAF can search areas that Spotlight can't like invisible folders, system folders and packages.  

If you get warnings that the file can't be deleted because it is in use or used by another app boot into Safe Mode according to How to use safe mode on your Mac, run Find Any File again and delete from there.

Note:  if you have a wireless keyboard with rechargeable batteries connect it with its charging cable before booting into Safe Mode.  This makes it act as a wired keyboard as will assure a successful boot into Safe Mode.

Just some food for thought.

For me, no I would not give it any access and would not install it on my computer, with the recommendation that you would uninstall the VPN using their uninstaller.

• https://gist.github.com/joepie91/5a9909939e6ce7d09e29
• https://overengineer.dev/blog/2019/04/08/very-precarious-narrative/

Admin approval is typically required in order to install an app. But if the app is already installed there should be no reason for it to need admin access. I would deny it and uninstall the app.

What is the exact prompt you are getting? Can you post a screenshot?