Advice: before you configure your new device, turn off the VPN !
it's a tip I found nowhere, so I think it might help other people: turn off your VPN and delete the VPN profile on your source device before launching the transfer to the target device.
i did not and it ruined part of my weekend. The new iPad could not connect correctly to the Internet and, as you may imagine, it could never complete the config process. It was stuck halfway. I tried to factory reset it but it wouldn't because in order to do so, it needs.... an internet connection.
I'm using a legit VPN app, not some dodgy stuff made by a neighbour. And yet this happened... I'm not saying that it happens all the time, but it's not impossible.
Happy ending: I called Apple support and the guy I spoke to nailed it after a few minutes and a couple of questions. Maybe we should acknowledge it when things go well, I've had a very good experience with Apple support on this issue.
So, for your peace of mind, kill the VPN profile, complete the transfer / configuration and then restart the VPN on the new device if you wish.