I understood your issue connecting the VPN.Let me know this did you ever tried connecting the VPN through the modem(with the wireless router).
If you are able to use the VPN without any issue through the modem then the issue is with the Belkin router or else Its the issue with ISP if you are not able to connect VPN through modem.
This step may help us to isolate the issue.
Try this step and let me know so that we can try further.
Thanks and regards