The current networkmanager applet uses a blue colour to indicate VPN connections  (which is debatable, given on wired connections the blue line is hard to catch, plus blue is not associated with secure connections, other applications use green for that) 

However, the same icon is used when wireless is active but there is no connection. 
In this case the wireless icon should be used but with the same colour as disabled wireless and no connection: red.

See the attached screenshots

Reproducible: Always

Steps to Reproduce:
1. Open a wireless connection
2. Connect to VPN
3. Disconnect all wireless connections

Actual Results:  
The icon is still the same

Expected Results:  
The icon changes

Marked as major because this is highly misleading and suggests a secured connection when there is none.