Pfff that's hard to read, can't you give a screenshot? Also not knowing your topology (what alias or description is representing what?) isn't helping either ::)
Anyway, at first glance I see here 4 rules where you exit all traffic directly to a gateway (that means without using the route table) and the last one has no filter (source).
IPv4 * Bxbox IP * * * WAN_DHCP none Bypass IPvanish Bxbox
IPv4 * WiiU * * * WAN_DHCP none Bypass IPvanish WiiU
IPv4 * FilesPlayOn * * * WAN_DHCP none Bypass IPvanish FilesPlayOn
IPv4 * * * * * IPVANISH_VPNV4 none Route Lan Traffic through IPVANISH
As you cannot set an openvpn as a gateway (iirc), this isn't the s2s-vpn we are talking about (?). So my first guess would be that your icmp would also match that last rule, and would be sent to that gateway?
If these assumptions are correct, you could simply add an entry (before that line "Route Lan Traffic through IPVANISH") where you allow LAN subnet (or even more filtered) to the remote subnet and don't specifiy a gateway (so you'll be using the route table)….