If you are prompted from VPN while installing zIPS then it means your Enteprise zIPS Administrator has enabled the VPN feature on iOS.
This feature allows zIPS to block all network access or block/allow network access to specific IPs if you connect to a harmful network. When you connect to such a network you will alerted by zIPS on your device and will not be able to connect via this network. You can restore your network connectivity by moving to a different Wi-Fi or a cellular network.
iOS Prompt Screenshot Post Installation Screenshot