VPN app doesn't have to poll server for incoming messages. And, anyway, it is expected to drain your battery when connected

On android there is a tradeoff, either you use googles notification services, or running your own, which will cause battery to die faster. They decided it'n not worth it, and they also don't want to release it without notifications at all, as it seems.

I remember my frustration, when i installed arch for the first time, booted and couldn't connect to the network