If it works without the vpn, then its likely your vpn has something configured. that is out of roku's hands.
You completely missed the point. As far as failing on the VPN connection, it's completely in Roku's hands and working as Roku intends.
I had the same problem. I have a VPN that I run at times. I inadvertently left it running when going to the Roku app. Once I turned it off, everything worked fine.