It works without the VPN, but I need the VPN more than I need Vimeo, so I just avoid anything that uses their service to host videos.

They seem to be very aggressive blocking IPs. For example, I have VPS on Digital Ocean which I use for small projects and also as a VPN server. The IP has been "mine" for almost a year, I don't use it to scrap sites or abuse any service... but I still get the damn captcha on their videos.