A private window shouldn't remember anything, including settings.
It can use some settings from the normal window.
A private window has access to my history, etc. I would be quite happy if nothing was inherited.
I would argue that the VPN setting is an attribute of the window rather than any of the sites accessed through it.
My proposal was driven by the observation that I have never used a private window with VPN turned off. For me it is an inconvenience to have to follow extra steps every time.