This is a security feature known as split-tunneling. It prevents the VPN client machine from being a conduit between a trusted (remote) and untrusted (local) network. This can be changed but you will need to work with your IT support group to understand the requirements for the organization’s network.
Another way around this is to have a locally attached printer instead of using a network printer.
If you use rdp in vpn then microsoft released apatch for this problem.