There may be the following reasons for this:
You don't have a VPN key yet.
Solution: find out
here how to get a VPN key.
OpenVPN was not installed during the aLobby installation.
The message No valid OpenVPN configuration file (*.ovpn) found in the folder is displayed.
Solution: find out
here how to get a VPN key.
You did not install the tap interface during the aLobby installation.
You deactivated the tap network adapter after the aLobby installation.