I have read some threads on this issue from several years ago, but was hoping there might be something more current. I am using Private Internet Access VPN and have just noticed that "Shields Up" reports several open ports (110, 22, 80, 443) and I understand that it is the PIA server being scanned, but is this a security concern. When disconnected from the VPN, the results are all "stealthed".
Yes, it's the VPN server being scanned. Open ports are security risks, true. But servers must open ports to listen for connections. Anyway, port 22 is standard for SSH. One hopes that they've secured SSH properly, allowing only key-based logins. I know that PIA uses port 443 for OpenVPN. Maybe it also uses port 80, or maybe it's also running a webserver. Try browsing the exit IP, and see what you get. Port 110 is standard for email, but maybe it's used for OpenVPN here. You could try using port 110 in your VPN client, and see what happens.