It simply refuses to connect due to a DNS issue. Completely wiping and reinstalling Mullvad does nothing.
I have done all the fixes that I know of, yet nothing works:
netsch ip reset
netsch winsock reset
ipconfig /flushdns
ipconfig /release
ipconfig /renew
netsch interface ip delete arpcache
So a fair warning if you update Windows 11, it may just break Mullvad and other VPN's.
Source: r/mullvadvpn · by /u/vBDKv