The installation process provided by ProtonVPN involves adding a new repository, which Software Store cannot read from. You will also see this error with other software downloaded in a similar way (I agree it could be handled better).
You can still add a new startup application in the following way:
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Menu -> Startup Applications
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Add entry where the "command" points to the ProtonVPN executable.
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You can find out the path to the executable by running this in the terminal:
which protonvpn-app
