Oh, sorry. I need to pay more attention. The problem is not the absence of this directory. Per strace, the problem is that this directory fails to be created. From the strace:
mkdir("/sys/fs/cgroup/net_cls", 0777) = -1 ENOENT (No such file or directory)
Indeed, the /sys/fs/cgroup/ directory exists on my system, but creating the needed subdirectory is not allowed even if I try manually:
$ sudo mkdir /sys/fs/cgroup/net_cls
mkdir: can't create directory '/sys/fs/cgroup/net_cls': No such file or directory
The Mullvad VPN daemon is running as root and assumes it should be able to create this directory. What gives?