Reduce your relays to less than 10 and test it again, 22 is too many and causes issues. Reducing the number increases considerably the performance of any client.

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How do I make sure my client still collects all the messages bi want to see?

When the VPN is on and I'm connected to 4-5 relays, I pretty much don't see anything

I will suggest you use Citrine as your personal relay and a Tor based relay with your own server, Star9 is the most convenient:

https://marketplace.start9.com/nostr

Here the Citrine link to github

https://github.com/greenart7c3/Citrine

In my setup, I rarely have to wait once I open Amethyst, on a TOR bad day, around 10 secs until the feed loads, after that all is good.

Then choose your relays logically, Damus, Primal, mom, mostr, band and 0xchat are the most used and reliable therefore best to have then in your Public Outbox and in your Public Inbox...pick three of those, mix them...

Your DM inbox needs for sure the 0xchat and the nostr1.

hope this helps

PS. Thanks for everything you do for privacy 👊