VPNs require CPU horsepower. Most routers don't have enough. The newer dual-core ARMv7 based routers should be able to handle it though. Many of those routers consume under 10watts.
Hmm, should we hunt elsewhere for competent VPN router recommendations or might someone on here have first hand info to share?
It has been a long time since I looked at 'hardware assisted' routers, let alone the VPN services they connect through. That said, I was just helping a friend ease into secure Internet/cloud document storage. So much to get wrong, so easy to not know what one is getting wrong.