PfSense and PIA
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does anything special have to be done on the firewall, to ALLOW PIA through the firewall?
So I have a VM and run PIA client on their just for that VM ONLY, will pfsense block it, or should it just work as normal?
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Pfsense will not block it. Firewalls work by blocking connections you do not initiate. When you connect to PIA, you are initiating the connection.