What Causes CS:GO Failed to Connect to Match? The error is quite a broad one but you can always gather a couple of problems which happen to almost everyone: Broken or missing game files. Windows Firewall blocking the game from running.

Can you get banned for VPN on CSGO?

The only thing thats clearly stated is that it is forbidden and thus bannable to use a VPN in order to disguise your location to redeem a region restricted gift on Steam, as confirmed on their Support Center.