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Long story short:

If your firmware version is below 2.27, no solution, upgrade to 2.27 first. Then the problem is already tipped on the web ui: iptables-mod-tproxy missing, go to software section to update list, then install this module(may not able to download because the file is on AWS)

Or ssh to your device, use following command:

opkg update
opkg install iptables-mod-tproxy

if no error message, it’s done.

If your device can’t download the files directly, you may have to download the ipk file yourself, then upload to your device to install it.