Adding new interfaces or virtual interfaces such as VPN connections never seem to end up in the right firewall zone. Windows no longer seems to have a GUI option to allow you to easily changes these settings. Dropping to Powershell will still manage to get the Job done

PS C:\>Get-NetConnectionProfile
PS C:\>$Profile = Get-NetConnectionProfile -InterfaceAlias Ethernet1
PS C:\>$Profile.NetworkCategory = "Private"
PS C:\>Set-NetConnectionProfile -InputObject $Profile

Sources:

Server Fault