I have used local file server before and it works fine. However, My server host over 60TB of data so it's not practical to duplicate it at two locations.
I have looked into this further. Using foobar2k, I can see that there is an initial bandwidth peak when playback started, presumably to fill up playback buffer, then bandwidth will settle at media bitrate. playback was fine without buffering. Contrast to MC, the peak to fill the buffer never happen, and subsequent data rate is always at or below the media bitrate. So increasing the size of the playback buffer is not going to help. Knowing that the bandwidth of the VPN is not the limitation, I would consider this a problem with MC itself. One additional datapoint is the ping time to the server is <70ms. Understand that it could limit TCP thoughtput, but as it has shown that file copying (which is TCP traffic) can reach over 100Mbps, I don't see the round trip time of bandwidth to be the limitation here.
P.S. changing the subject to VPN problem is misleading. I don't see a problem with the VPN. It is MC inability to sustain a reasonable media read speed over VPN.