OS X Server no longer has a tool to manipulate the firewall with any more nuance then on/off, roughly speaking.
It just lets all Apple Services that you have turned on at the server app receive connections, unless you upgraded to Mountain Lion from Lion Server, in which case the previous firewall settings from Lion Server are still in place.
On the router you need to grant access to a number of ports, but I take it you have already done so because it used to work under Lion Server. So if you haven't changed anything it should be ok.
Please look here for a good guide on setting up VPN.