Firmware 2.262. Settings = VPN Enabled / Force VPN / Not Started (I uploaded a dummy .ovpn to achieve this).
Router can both check for firmware update (2.263) and also download new update! This is contrary to “No Internet if VPN is not connected” as per the GUI. Also, it makes me wonder what other exceptions to this rule there are hidden away somewhere! For me no internet means exactly that - NO INTERNET.