https://bugs.winehq.org/show_bug.cgi?id=40152
--- Comment #1 from Bruno Jesus 00cpxxx@gmail.com --- Reminds me of bug 35092, but it looks like you are using the 32bit version of the program so probably unrelated.
Judging by the type of application I'm not sure it can work because wine is not an OS, the app may try to create a virtual network adapter or something like that to expose the VPN and that wouldn't work but most likely it is crashing way before that.
Maybe if you run the application in the console the standard log will have more informations. See: https://wiki.winehq.org/FAQ#How_can_I_get_a_debugging_log_.28a.k.a._terminal...