If you can play the official version, it is widely considered the "definitive" digital Yu-Gi-Oh! experience: Free-to-Play Friendly:
The most common reason is bandwidth management and productivity. Network administrators at schools and offices often use firewalls to block access to gaming servers, streaming sites, and social media. The goal is to prevent students from losing focus or employees from bogging down the network with high-data activities. Master Duel, while not as data-heavy as a shooter game, requires a persistent connection to Konami’s servers, which firewalls can easily detect.
A VPN works by encrypting your internet traffic and routing it through a server in a location of your choice. To the firewall on your school or work network, your data just looks like a secure, encrypted blob—it cannot see that you are connecting to a game server.