I posted this a few weeks back as I got it working through a laptop running windows 10.
With all the issues with vpns and routers etc, i'd thought that i would test using my laptop as a vpn router.
This may become useful for some people.
My laptop allows me to connect to a vpn.
What i did was connect an ethernet cable from my laptop to my mag box.
I changed a few settings in the Network and Sharing Centre, adaptor settings.
Turned my vpn on and it worked.
This allows me to share the laptops internet connection with the mag box through a vpn.
I have only tested this with a mag. It might work with a smart tv.