rdns dev here
This error message might mean Rethink does not have the INTERNET permission, which is normally granted to ALL apps that request it (by default) on most ROMs but can be revoked on a case-by-case basis by the end-user using Android’s built-in Settings app.
Make sure Rethink is allowed to use data (both Wifi & Mobile) in Android Settings (see: vid tutorial / mirror; the steps may vary across ROMs).
The screenshot of Rethink’s homescreen you shared shows that it is running in Firewall-only mode (notice: “Enable DNS mode” in the top left-hand tile on the homescreen).