I had a similar problem with setting my CS: GO servers, I tried everything to set the setting properly, but my players kept receiving bans because some forgot to turn off their VPN services. The method I solve the issue with settings is the following> set in settings to send a warning message for players who are using private proxies(NOT VPNs) in this case, and the system will send this message to users who are using the VPN services as well. But keep in mind that players using the
private residential proxy can be banned because, in most cases, the system thinks they are using VPNs.