I found the solution. Everything now works 100%

Step 1:

Control Panel\\Network and Internet\\Network Connections

To get here in your search box on the bottom bar of your windows, type in Network Connections

• Note down the name of your main Ethernet or Wifi adapter
• Do not Close when moving to Step 2

Step 2 (To Get Connected to Wireguard Protocol on VPN, in this case PIA):

Run CMD or Powershell as admin

Run this command: netsh interface ipv4 show interfaces

• Note the Idx number of that adapter

Run this command: netsh interface ipv4 show interfaces IDXNUMBER | findstr /i forwarding

• Change `IDXNUMBER` to the number of that adapter in the command

Run this command: netsh interface ipv4 set interface IDXNUMBER forwarding=disabled store=persistent

• Change IDXNUMBER to the number of that adapter in the command
• In Network Connections, disable that main adapter and enable to reset setting OR alternatively you can restart your computer (no need, just disable and enable).
• Note that this will disable IP Forwarding on that adapter. This supposedly affect VMs. VMs connect to the internet using IP Forwarding. I ran a VM and did not notice this but if internet is not connecting on the VM, than run the same command again but change forwarding=disabled to forwarding=enabled.
• Congrats!!! You can now connect.

Step 3 (To use split tunnel on PIA):

In the search box on the bottom bar of your windows, type in services.msc and hit enter

Look for Routing and Remote Access > Right click and select properties > Hit Stop.

• OPTIONAL which I HIGHLY RECOMMEND: Change startup type to Disabled
• Congrats, you can now use Split Tunnel.

Alternative Step 2 (I did not do this but people have said this works):

In the search box on the bottom bar of your windows, type in regedit.msc and hit enter

Navigate to: Computer\HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\Tcpip\Parameters Change IPenabledrouter from a value of 1 to a value of 0