I just instaled Roon Core on my Mac Pro with Mac OS 10.15. I can access from my iPhone, when the phone is on the home wifi but the same iPhone can’t connect when is out of the wifi.
I have checked (yes) the Roon, settings>setup>accept connections from remotes → yes
From a quick scan there is no built in VPN server option.
So you may have to establish such a service from another internal network device. Like your home PC.
If you have, some NASes (like Synology) offer free VPN server packages as well. But you should have some experience.
I have a Tablo box on my home (TV cutter device) and the box can send HD video to other boxes like FireTV, GoogleChromecast, cell phones/tablets and smart TVs without VPN. I am surprised that Roon, can’t do the same as a small company like Tablo is doing for video !?