Are you trying to do VPN via the router or from your PC ?
I use VPN on this router daily, I can connect to remote routers or dial from my PC out.
To use VPN from the LAN across the router, make sure that you have ticked allow VPN Passthrough.
This is currently an Issue I am told by HP that they will fix soon, clients don't need to have Allow VPN Passthrough ticked.
Otherwise, Router to Router, make sure you define the remote LAN subnet in order to pass traffic.
Hope this helps.