I have a TP-Link MR200 LTE router... With my netgear (ADSL) router I did not have to change any router settings to get the VPN to work.
I don't know much about VPNs etc., but I found some stuff on Google about VPN tunneling (blah, blah) and having to enable it on the (LTE) router or adjusting/adding a setting to allow the VPN traffic through. (I hope this makes sense to someone...)
Edit: Seems like I have to configure some IPSec settings in the router - oh man, why can't it be as simple as the Netgear DSL router - plug and play.