I don’t know why it is, exactly… but I think it’s related to Golang intentionally avoiding using the system libc and implementing its own low-level TCP/IP functions, leading to it not using the system configuration which tells it which interface to use for which connections.
Edit: now that I think about it, I think the issue is with DNS… macOS can be configured such that some subdomains (like on a VPN) are resolved with different DNS servers than others, which helps isolate things so that you only use your VPN’s DNS server for connections that actually need it. Go’s DNS resolution ignores this configuration system and just uses the same server for all DNS resolution, hence the issue.