VPNs are tricky and it is not unusual for "sharing" to not work. Businesses use VPNs to allow their remote workers a direct connection to the company network. But if the worker "shares" the VPN connection to their home network, and their home network has a virus or some other malware, then the virus now has access to the company network. So often, the VPN software is configured to not allow sharing. In your case, it's likely that Apple's internet sharing can't configure the routing table correctly for the VPN connection. Bottom line is that you'll need to get a new router that does work as a VPN endpoint. If you're savvy enough, you could try and adding the routes manually into the Mac's sharing config. But if you go through that trouble, I'd recommend you build a open source router using something like Smoothwall or whatever Linux distro, (or Windows Server, if you have the license and knowledge,) then you'd have complete control over the routing and port forwarding, as well as making it a VPN endpoint.