If the deployment has configured the SBL .xml that does not allow the user to interact and forces them to connect via the VPN first, then yes the user is logged out of the laptop for that portion of the login process. After VPN login - normal login can proceed, since it would be a personal laptop is a pretty fair bet the machine is not connected to the company domain - so the local user should be still able to login - but you will be connected to the VPN.
Saying that - there are alot of options that I have not really read into to deep detail, so it all depends on the deployment. A fair thing to say is - do not use a personal laptop to connect to a company VPN, as in most cases this can be a HR issue, unless you have written permission.
HTH>