I found out after asking NordVPN support
The problem was not because NordVPN is running on my PC but because there was a wrong setting on NordVPN app on my S10
Here is their answer :
"Allow local network discovery" was not checked on my S10.Additionally, on your Android device, make sure that the Allow local network discovery feature is enabled.
You can locate it by going to Settings (top-left corner of the NordVPN application) > Allow local network discovery:
I checked it and MPE connection now works via Wifi
As for PC side, they wrote me :
It was already disabled on my PC. The only problem was on my phoneIf you are using a Windows computer, please make sure that the Invisibility on LAN feature is disabled.
You can locate it by going to Settings (top-right corner of the NordVPN application) > Advanced > Invisibility on LAN:
Thanks again to icke1954
I hope it will be useful for other MPE users
One thing is strange though : On my S7, "Allow local network discovery" is not checked and MPE can connect to this phone via Wifi!