i managed to get it working on LAN and VPN simultaneously (softether VPN)
on the pc that will act as the SERVER, you must edit the following file:
C:\Program Files\Epic Games\UE_4.22\Engine\Programs\UnrealMultiUserServer\Saved\Config\Windows\Engine.ini
modify the file to contain:
[/Script/UdpMessaging.UdpMessagingSettings]
EnableTransport=True
UnicastEndpoint=1.2.3.4:0 ## This must match your VPN adapter IP
MulticastEndpoint=230.0.0.1:6666
MulticastTimeToLive=1
EnableTunnel=False
TunnelUnicastEndpoint=
TunnelMulticastEndpoint=
modify the UnicastEndpoint to your vpn ip
EXTRA: i had issues with multicast ip 230.0.0.1:6666 for some reason, 234.0.0.1:6666 works though, if you modify this you must adjust all the clients in unreal >> project settings >> udp messaging >> multicast endpoint= 234.0.0.1:6666
you can also try modifing unicast endpoint= 0.0.0.0:0 to your vpn ip