As of writing this article, there is a bug in Windows 10 that prevents you from editing IPv4 or IPv6 settings on VPN connections. This in turn means you don't have access to edit the default gateway setting which causes some installations to not route traffic over the VPN connection by default.
If you are able to connect sucessfully to the VPN, but your IP doesn't change, try the following,
1. Make sure your Windows 10 is upto date with the latest updates or this may not work.
2. Navigate to C:\Users\USER\AppData\Roaming\Microsoft\Network\Connections\Pbk
Replace USER with your own username.
3. Right click the rasphone.pbk file and Open With Notepad or other text editor.
4. Find the setting "IpPrioritizeRemote" and set it to 1. i.e "IpPrioritizeRemote=1"
5. Save the file.
6. Try connecting to the VPN again and check your IP by going to https://geoiptool.com/