I don't really understand the problem here. You mention having to use the VPN Director before NOT having to use it (i.e., Yes (all)), but don't mention *how* you have the VPN Director actually configured.
Since you're using OpenVPN client #4 in your posted images, it's NOT clear if perhaps you have other OpenVPN clients active at the same time, and how they might be configured. Even if these other OpenVPN clients are NOT active, given how the kill switch now works (i.e., it's persistent even if a given OpenVPN client is disabled/OFF), it *might* affect other active OpenVPN clients.
A common mistake is to specify things you do NOT need in custom config. Many times the VPN provider will either instruct you explicitly to include them, or they may be part of a provided config file you've imported. Any directives the router does NOT need from the config file to configure the GUI are usually just dumped into custom config. But sometimes that can create conflicts, as it's quite rare for anything else to be required except that which completes the GUI itself. You're more likely to create problems than solve them when you have anything in the custom config field.
It appears you're using NordVPN, which is my own VPN provider. I happen to be using DD-WRT, NOT Merlin, and fwiw, I have NONE of those things in my own custom config field (what DD-WRT calls Additional Config). I'm not saying any of those directives is causing your current problems, but if you can simplify the configuration, so much the better, just in case it is.
P.S. This issue rightly belongs in its own thread, like any other issue involving the firmware.