Maybe I can help you with this. To be clear, are you on 1803 or 1909? If you are currently on 1803, you need to update it since 1803 is two years ago. and 1909 is the current version.
The warning I would assumed you are talking about Windows Defender SmartScreen? If that is the case, then I am curious why Windows Defender is throwing the warning every time you open? Possible there is an issue with Windows Defenders that is likely causing problem with the newest version of Eddie? Did you check Windows Defenders to see if something is amiss?
Can you check Event Viewer to see if there is something that it logged the issue? Press Start button, then type and click on Event Viewer. When the Event Viewer is open, expand Windows Logs then click Application. Give it a moment to load all of the events, do not worry if the app suddenly non-responsive. Just give it a time to load them all. It can take up to 10 minutes. Once it loaded, scan through the list to see if you have errors. If you know the date and time when this problem occurred, it will be easier to find the error than scanning through the list because Application views have all the programs in one list. You can use the Filter options in Actions sidebar. Click on Filter Current Log... then in that dialog, tick Critical, Warning and Error then click ok. The list will be shorter and easy for you to find. You should be looking for something related to Eddie, check the description that included Eddie-UI.exe. Hopefully it is logged that it would give a hint of what is going on. Can you find the report?
Did you turn on the network lock before connecting? If you did, try to connect without the network lock enabled. It is likely that it need the server list to for it to know which to connect. Once it connected, you can disconnect the VPN then re-enable Network Lock, then it should be working normally. If that is not the case, then you need to post Eddie log which will provide us the clue of what is happening with Eddie.