Check legacy VPN is connected before alerting

Legacy VPN does nothing if the device has no underlying network
connection, so showing this warning in that case is confusing.

Conversely third-party VPN can still be dangerous since a malicious
app will store sensitive information and upload it later.

Bug: 21499103
Change-Id: I25a0d4e1e5b10198cb067f06645f0e5ecf81bf56