You can now exempt players from the vpn and geo check by enabling use-permission-exemption in the config.yml. The permission is called connectionguard.exemption.vpn and connectionguard.exemption.geo.
The permission exemption is turned off by default, because it requires LuckPerms as a 3rd-party dependency when used on BungeeCord and Spigot. On Velocity, you can use whatever permission plugin you like.