All credit goes to MrModaeus and his answer on Reddit
This post is intended to hopefully make it more discoverable in Google searches for anyone else with the same problem.
Long story short the error "The system cannot find the file specified" when trying to connect to VPN is caused by a corrupt or missing registry.
Just run code bellow in administrator PowerShell console to fix this:
New-Item -Path HKLM:\SYSTEM\CurrentControlSet\Services\Dnscache\Parameters -Name DnsPolicyConfig
$keyPath = 'HKLM:\SYSTEM\CurrentControlSet\Services\Dnscache\Parameters\DnsPolicyConfig'
$acl = Get-Acl -Path $keyPath
$idRef = [System.Security.Principal.NTAccount]("NT SERVICE\Dnscache")
$regRights = [System.Security.AccessControl.RegistryRights]::FullControl
$inhFlags = [System.Security.AccessControl.InheritanceFlags]::ContainerInherit
$prFlags = [System.Security.AccessControl.PropagationFlags]::None
$acType = [System.Security.AccessControl.AccessControlType]::Allow
$rule = New-Object System.Security.AccessControl.RegistryAccessRule ($idRef, $regRights, $inhFlags, $prFlags, $acType)
$acl.AddAccessRule($rule)
$acl.SetAccessRule($rule)
$acl | Set-Acl -Path $keyPath
In case 'HKLM:\SYSTEM\CurrentControlSet\Services\Dnscache\Parameters\DnsPolicyConfig' already exists and fix didn't help, try to export it (just in case), delete it and ruh the PS code again.