I am not sure I understand where the problem is? I would have thought that this is the VPN configuration over the network, regardless of being connected or disconnected. See if you still have this setup if you remove the network hardware?
I don't think it's a bug! It's just that Windows would give the chance to use a different connection if needed! It didn't open any connection, just show's a way How To .....! Nothing wrong with that, is it?! As long as any hardware is available, and detected and running using any drivers, Windows will try to solve upcoming problems 'on behalf of the user' to ease the working. There still a lot of computer users out there who didn't have any clue what to do if some connection is gone, like a inaccessible Ethernet connection! If and WiFi, VPN, or whatever other connection is maybe possible, because the Hardware and/or connection are available, Windows displays such related info's. Is that bad? I don't think so! Even the OP didn't like that, it's still useful for many other users!
Win 10 is more like a Phone os than before, so it can do roaming. When ethernet is off it looks for other connections, as pisthai also mentioned.
But usually who has PC has Ethernet and not Wireless network that belong to laptops. And VPN can't work if the internet is turn off. Windows 10 not looking for other connection. Because "Ethernet" not exist, Win10 jump to VPN automatically.
It's not show the Ethernet at all. But it not supposed to show VPN. At least, it not supposed let us pressing on "Network settings".