How to apply GPO?

Question

Group Policies

Good day, I inherited a domain with chaos inside and without politics, thank God, I won’t say anything about the jambs of the server itself, it’s not about them.
1) Put everything in order created UO inside a few more UOs: Admins, Users, Clients, Service Accounts (such as test accounts and the like)
2) Created a Group in the Domain called VPN (it is planned to be used to distribute VPN settings to users) Scope of the group : Domain Local, Group Type: Security. I threw 2 users into it for a test from UO Users
3) I create a GPO called VPN, I create a VPN named TEST in the user settings
4) A link Policy with UO Users
5) I delete those who have passed Authorization from the Security Filter, I add a VPN group (where test users)
6) I authorize on a PC under a test user, perform a reboot or from the admin (gpupdate / force) the policy is not applied, but if it is linked to the domain, it will work
. What's the catch?