I have set my environment just like this, and happily connecting and streaming remotely — from macOS.
From the iPhone (7Plus, iOS12), sadly it does not work. VPN connects successfully, I can ping server IP, but Roon is unable to locate it. I even type server IP in the Hint while Roon app is searching, still, no joy.
This is what I got from Roon support (@noris):
“VPNs are known to cause issue with multicast and our RAAT protocol and as such, we do not officially support VPNs. Generally speaking, when you use a VPN this causes the device to use a different subnet than the Core.”