It's because you have previous cookies/state in your browser that you got from non-VPN addresses, which adds to your trust score. Do it with a clean browser with AdBlock and many, many things block you.
If you don't clear your state or keep its original origin VPN only, you're breaking a big point of using VPNs.
I use Firefox Focus on mobile, use-once containers on Firefox Nightly w/ Mozilla VPN or Mullvad and have never entered the doom loops that are described.
I use Firefox Focus on Android (wipes its cookies on close) + Mullvad and Cloudflare captchas don't even make me solve anything, just tap on them and they let me through.
Brave uses Forgetful Browsing, nuking all stateful site data after a tab close. I have Firefox configured to do the same via the Cookie Autodelete extension.