When using OpenVPN it works fine (both for access to the the Roon Server as well as streaming music), but you have to ensure to use TAP mode (bridging mode). It won’t work using TUN mode (routing mode).
Unfortunately iOS does not support TAP, so you can’t simply VPN from your iOS device. However if you got a laptop or some other non-iOS device you should be able to setup vpn with TAP mode.
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