I just solved this after an hour of fiddling with my Windows 10 settings, and I'm sharing it with you in case it's useful
1) Uninstall SonicWall. Both AppStore and classic apps can coexiste, I've uninstalled both. Reboot your PC
2) From SonicWall's support page, download the 'GVCUtil' cleanup utility. Run it, and remove all configuration files and perform a full cleanup.
3) Reboot your PC and re-install the SonicWall client (It's worked for me with release 4.9.4.0306). It will show some error messages while installing, saying it's not able to remove/disable a virtual adapter. Still, go ahead and finish installing
4) Looking at the logs, I saw SonicWall was trying to enable a virtual adapter with a non-existent MAC, so I used GVCUtil to generate a new one.
5) Create a new connection in SonicWall client, try to connect and see if it works.
At this point, in my case it was complaining about a stopped IPSec driver and a stopped Virtual NIC. To start the IPSec driver, first start the IPSec Windows Service and then click the [Start IPSec] option in GVCutil.
To enable the virtual NIC, open an Explorer window and look for the SWVNIC folder. In my PC it's in [C:\Program Files\Dell SonicWALL\Global VPN Client\SWVNIC]. Right click on the [netSWVNIC.inf] file and select [Install]. Once it's done, go back to GVCUtil and click on the [Start Virtual NIC] option.
Now you should be able to connect to your VPN. Hope this helps!