Right, because the udp broadcasts used by mdns/dlna don't cross between networks.
There's another piece of software called bubbleupnp server, which you can run on the same network as your dlna media servers. Then you manually configure the IP address of the bubbleupnp server in the bubbleupnp app, and the app uses the bubble server as a proxy to detect media servers.
But it only passes knowledge of the media servers, it doesn't pass knowledge of renderers. So you can play media from home on your phone via the VPN. But you can't play anything on a renderer that's across the VPN. I wish it would do that but so it goes.
-Ben