Add the required permissions to the various FortiClient VPN processes in the system prompts. If you fail to do so, follow the steps below.
Navigate through system settings: System Preferences > Security & Privacy > Privacy. Click the Lock icon in the lower left corner, then enter your username and password.
In the table above, select the Full Disk Access menu item, then in the table below, use the + sign to add the programs under /Library/Application Support/Fortinet/FortiClient/bin, e.g.: FCTLauncher, FortiGuardAgent, fctctld.