What are you trying to do more generally; cloak your remote location from your employer while using their equipment & its associated VPN connection?
It can be done. The first thing I’d check, if your ‘VPN Client’ is properly running (GL GUI → VPN → VPN Dashboard) is to make sure ‘Global Proxy’ is enabled. You want everything shunted through your VPN (eg: Nord VPN, Mullvad) first, yes?
(Assumes firmware 4.2.1-release4)