Cloudflare DNS + VPN

I’m using the CF’s DNS in my router settings, so all my devices can be protected from malicious or adult sites. I am also trying to use a VPN (installed the software on my PC already), however when I connect using the VPN software, the connections drops and there’s no more internet.
I’m a little noob about this issue, so question is: is it possible to have the CF DNS (set in the router, as I have) and to use a VPN on the connected devices?

PS my android phone doesn’t seem to have issue connection to the VPN servers, but the PC does.

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