Thanks for sharing. That would figure as I do have VPN working on my Lumia 930 and that's configured using MDM and going through a Windows Server as the VPN server. Configuring it manually for pfSense lets it connect, but no data flows through. I'll provide feedback on this issue through the insider hub as the product group does read that stuff.
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Giving it another thought though, how can it be that if the UI was broken, it does connect? I don't see the connection between a broken UI and it connecting, but not sending data through. Sounds more like pfSense and Windows 10 Phone not cooperating well in sharing network config. Nevertheless will share in Windows Feedback App.