No, the other way round. I can get in by using a VPN but not without it.
No I'm wondering if this is a setting on my PC as my mobile phone and tablet are both working perfectly on the same Wi-Fi network. The PC is directly connected via ethernet but surely that cannot be causing this.
I run Windows 10 with Defender which is routinely updated. Following your advice, I disabled that and ran Avast and also Malwarebytes. All have come up clean.
It is not every site that I get this Privacy error. Certainly Virgin Media is one of them along with Amazon and National-Lottery.though there may be others. On the other hand there are many where I am not getting the error.