Have you had DDoSes that have been filtered there? Most providers that claim automatic DDoS mitigation are not set up to effectively mitigate the types of attacks that hit game servers, such as spoofed query floods. I'm not familiar with the company you mentioned, but their level of protection may not be better than ours.
I would not recommend proxying game server traffic through a VPN, as that will hurt the performance of the server. If you do want to proceed, it would be best to use a very light-weight solution such as a GRE tunnel, instead, but I'd recommend against even that.
Your VPN provider would be the best one to talk to about problems with the VPN, though.