Fanza requires the user to be in Japan, I am not. So no it doesn't play fine without a VPN. I did some tests and it looks like while connected to VPN the manifest.mpd file can't be downloaded by Microsoft Edge. But VPN is required to access the website where the manifest.mpd file for the given movie is found. I read, in another forum about Fanza and VPNs that one workaround is to load up the website while on VPN, but disconnect the VPN to play the film. That's a timing trick I haven't figured out yet. But I was able to download the manifest.mpd file once the VPN is disconnected. But there's a final step I haven't figured out.
At this point, I'm certain the problem is with my VPN (to Japan) and that I will need to change VPN providers.