Connection via VPNs isn’t officially supported by Roon so you won’t get any roon support chipping in but those who use them on this forum may try and do so.
Connection over VPN works for me from a Win 10 Pro laptop, but not with my Android smartphone or tablet. I’m using L2TP/IPSec with pre-shared key to a WatchGuard XTM 2 Series firewall.
That is odd. We are behind a permanent VPN installed on the router and sometimes even run another VPN on an individual device if we want another VPN server in a different country and we have no connection problems with Roon, nor did we ever have them (best part of 2 years).