NOTE: this only applies to InvizBox Go's running a firmware older than 4.1.12
I've upgraded my InvizBox Go to the latest firmware and now even though the status page says I'm secure and connected to VPN, the WiFi LED lights stay red.
During boot, I have the normal green light and then everything seemed reversed. The LEDs are green when not connected and red when secure.
The LEDs have been switched -i.e. green became red and vice versa.
This issue is a result of a mismatch between some configuration items which have been kept during the upgrade and the newer firmware (result of a bug having been fixed).
Regarding your safety and privacy, nothing was actually failing (apart from the wrong LED colour) and the InvizBox Go was still protecting you fully during that time.
The simplest way to fix this is to reset the device (https://support.invizbox.com/hc/en-us/articles/115000385945-How-do-I-reset-my-InvizBox-Go-) as this drops the device configuration completely.
Note: Before you perform the reset, make sure you have the factory WiFi password handy (originally sent to you on a business card format) as the device will revert to that password (you may never have changed it in which case there is nothing to worry about).