Hello Gangadhar,
Just so you know, the setup you are proposing should work without issues.
As you stated it is an issue with the VPN, and the only thing I can think of that you can check is the routes, check if the agent and the server (and the host maybe) have the correct routes to communicate through the VPN (Other than this could be related to the configuration of the devices you are using in the middle).
I hope this could be helpful.