You should've said it along with other info earlier in the OP

I've tried the manual update (help->Check for updates) and mine also failed to connect to the update server.
Unlike you, I'm not using a VPN and I have also tried disabling the firewall and other versions, namely: 3.3.7 and 3.3.8.
Electrum on the other hand works fine.

I opened a new issue: https://github.com/spesmilo/electrum/issues/5899 (Update Check Failed #5899)
Hopefully, they'll fix it up asap.