First, please ensure that you have Internet connectivity within your Kali Linux virtual machine. For basic network configuration on Kali, you can refer to the Kali documentation site.
If you do have Internet connectivity and are still unable to connect to the labs, ensure you are not behind any firewalls that are preventing you from establishing an outbound connection to the labs on UDP port 1194.
In addition, you could use our self-serve troubleshooting guide.
If you are still experiencing issues with VPN connectivity after going over, please send us the troubleshooting.log file generated after running the troubleshooting.sh script.