While this is the first time I hear the issues about Sophos FW, you are certainly not alone:
It's a bit strange that changing a network configuration breaks the local screen display.
Hopefully VMware fixes it soon (personally I do not consider this a bug at any of the VPN software suppliers)
Wil| Author of Vimalin. The virtual machine Backup app for VMware Desktop Products
| Vimalin : Automated backups for VMware Fusion and VMware Workstation Professional
| More info at https://www.vimalin.com
| Twitter @wilva
| VMware Wiki at http://www.vi-toolkit.com