Hm. Okay so it is a VPN, and you are having issues with a VPN the process is a little more complicated
My familiarity with VPN's are a bit limited when it comes to using programs, as any programs Ive used with a VPN active was more toward the lines of doing other tasks non-neo related. If I were going to throw a random guess though, I would have to say that the problem isn't on the program end but the fact that the VPN is blocking access the programs access to the internet. The reason may be because HMA's VPN may strictly apply to browsers, and while a proxy is actively in use, the software itself may reject any connections that it has not been configured to protect under the IP/proxy. If you're using premium, it might be helpful to contact customer support to see (of course in a less conspicuous way then saying you're using bot/cheats for neopets. :X I'll look into it again later tonight after i get back from work.