The Windows Subsystem for Linux 2 will bypass the Windows 10 firewall and any configured rules, raising security concerns for those who use the feature. Mullvad VPN includes an ‘Always require VPN’ option that blocks Internet access via the Windows Firewall unless connected to the VPN. The problem has nothing to do with VPN software and is simply how the Windows SubSystem for. Linux 2 is far more powerful than the first version, but with it comes security considerations that users should be aware of.
Source: https://www.bleepingcomputer.com/news/microsoft/windows-subsystem-for-linux-2-bypasses-the-windows-10-firewall/