Yes, with the right setup you can exclude an application from using the VPN when connecting on your desktop application (Mac, Windows, and Linux). However, at this time we do not offer support for excluding applications on these devices.
We do however have the option of the Per-App settings with our Android application. This feature allows you to choose what applications you would like to connect through the VPN and exclude any you don't. For more information, please see our Android (Per-app settings) Guide.
In order to exclude a certain application or device from connecting outside the VPN tunnel you would need to use something called split tunneling. If you decide to try this setup, do be aware that the traffic for those apps will not be encrypted or protected by the VPN.
Because of the complexity of the setup and the possibility of leaking data outside the VPN connection (which can introduce security risks), we do not support split tunneling at this time.
If you choose to move forward with setting up Split Tunneling, we have created guides that walk you through how to set up Split tunneling for these devices. This was done in an effort to provide our users with as many tools as we can.
For Mac user's, you can find the guide here.
For Windows user's you can find the guide here.