For the Split Tunnel, you have to locate the .exe file for the app you are looking to add. Usually found in Program Files or Program Files (x86).
Many web sites do not allow access from known VPN IP addresses. They do this for copyright, legal, security, and political reasons. There is nothing a VPN provider can or should do to circumvent these legal protections. See this How to Geeks article. https://www.howtogeek.com/403771/why-do-some-websites-block-vpns/