Is my PC still secure if I set some websites in the VPN policies to Do not use VPN for the following?
Or is there another way to run a website without a VPN without jeopardising the security of the PC?
VPN will not make your PC more secure.
The only thing VPN does, is hiding your current location - mostly.
For all other stuff, like better security on your PC, it is needed to ... well ... secure the PC 
So as long as you use some anti-virus (or Windows Defender), some Adblocker and don't click on every "Nice woman 15 miles around you" link, it is mostly fine.