In my tests on Brume 2 running Firmware 4.1.1-1105, VPN policy exclusions are working. Domain names/IP addresses that are on the exclusion list go directly out to my ISP, while other names/IP addresses go through the NordVPN tunnel. I used tracert on a WIndows 10 client PC. The GL.iNet “Kill Switch” has not been enabled.

Maybe the LuCI-configured VPN interferes with the Admin Panel-configured VPN. Can you test with no LuCI-configured VPN?

I do not work for and I do not have formal association with GL.iNet