Nearby Share is a very apt name - it basically describes exactly what the entire point of it is. You can use it to quickly (and easily) share stuff between Android phones, regardless of maker. And starting today, you can use it to share files between Windows PCs and Android devices.
works fine with Mullvad for me, I just had to enable “local network sharing” in Mullvad app’s settings. using split tunneling to exclude KDE Connect from routing through VPN would most likely work, too.