@ressurex Thanks ressurex, the guide you supplied the link to helped me solve the issue. The issue was the "Gateway creation" setting in the VPN client. This setting has three radiobuttons of which none is checked by default. Since the ProtonVPN does not mention this setting I did not touch it. However, as it appears, you need to check one of the radiobuttons in order to create a gateway for IP4, IP6 or both. I checked both and after that, it worked.
@johnpoz The hybrid NAT is not sufficient. I really do need to manually create the NAT rules as mentioned in the ProtonVPN guide, because without those manually created rules (and with only the automatically created ones) it does not work.