This seems to be an inconsistent problem.
I normally have not problem reconnecting when my computer goes to sleep. I currently use FMP 19.3.2 and Mac OS X 11.6.1, however this behaviour has been consistent for a while now.
From time to time, however, things don't work out. I have yet to see a pattern short of the VPN crapping out. Just to be clear, reconnection issues happen from time to time even when a VPN is not at issue.