Same issue confirmed with a Qemu virtual machine for android-x86-4.4-r3.iso (and android-x86-5.1-rc1.iso).
Here is output from a log file I managed to obtain thanks to the SendLog app from Neil Boyd (4.4-r3):
01-28 21:14:58.253 I/mtpd ( 3986): Connecting to
euro217.vpnbook.com port 1723 via eth0
01-28 21:14:58.271 F/mtpd ( 3986): Connect() Operation not permitted
01-28 21:14:58.464 I/LegacyVpnRunner( 1318): Aborting
01-28 21:14:58.464 I/LegacyVpnRunner( 1318): java.lang.IllegalStateException: mtpd is dead
01-28 21:14:58.464 I/LegacyVpnRunner( 1318): at com.android.server.connectivity.Vpn$LegacyVpnRunner.execute(Vpn.java:1096)
01-28 21:14:58.464 I/LegacyVpnRunner( 1318): at com.android.server.connectivity.Vpn$LegacyVpnRunner.run(Vpn.java:975)
01-28 21:14:58.473 I/iptables( 1081): iptables: No chain/target/match by that name.
01-28 21:14:58.476 I/iptables( 1081): iptables terminated by exit(1)
01-28 21:14:58.476 E/Netd ( 1081): exec() res=0, status=256 for /system/bin/iptables -t mangle -D st_mangle_POSTROUTING -p tcp -o eth0 --tcp-flags SYN,RST SYN -j TCPMSS --clamp-mss-to-pmtu
01-28 21:14:58.476 I/ip6tables( 1081): ip6tables: No chain/target/match by that name.
01-28 21:14:58.477 I/ip6tables( 1081): ip6tables terminated by exit(1)
01-28 21:14:58.477 E/Netd ( 1081): exec() res=0, status=256 for /system/bin/ip6tables -t mangle -D st_mangle_POSTROUTING -p tcp -o eth0 --tcp-flags SYN,RST SYN -j TCPMSS --clamp-mss-to-pmtu
01-28 21:14:58.477 I/iptables( 1081): iptables: No chain/target/match by that name.
01-28 21:14:58.479 I/iptables( 1081): iptables terminated by exit(1)
01-28 21:14:58.479 E/Netd ( 1081): exec() res=0, status=256 for /system/bin/iptables -t nat -D st_nat_POSTROUTING -o eth0 -m mark --mark 61 -j MASQUERADE
01-28 21:14:58.479 D/Vpn ( 1318): setting state=DISCONNECTED, reason=exit