Microsoft acknowledged a new bug that has been introduced for some users on Windows 10 May 2020 Update (version 2004) that falsely reporting the internet connection status in the Windows Taskbar icon (Network Connectivity Status Indicator, NCSI).
At present, Microsoft has no solution for it as the issue is being investigated by the engineers at Redmond. If you are facing this issue, it's just a matter of time until a new fix comes up.