When you use the 'Connect locally only?' (Wi-Fi Mode) option, you might encounter a screen if you have a VPN running on your iOS device. VPNs are great for internet security, but they can block the connection between your phone and the camera.

To bypass this screen, you'll first need to disable a setting called 'Connect on Demand', which automatically turns your VPN back on when you try to connect to a Wi-Fi network. To access this setting, go to your iOS device's Settings -> General -> VPN & Device Management. Click on your VPN name, then on the next page click on the blue 'i' on the right-hand side. The first option displayed will be 'Connect on demand', which you need to turn off. Once disabled, you can temporarily turn off your VPN and then you should be able to connect to your camera via the app.

Don't forget to turn your VPN back on after you finish connecting to your camera if you want your VPN to be active.