This is a non-conventional solution (which might/might-not work for everyone) but can be helpful to others having the same issue.
Answer gathered from androidforum and google product forum
What we are trying to achieve is to Set-up a pin and fail to enter it deliberately to access recovery using gmail address and entering the VPN settings directly after google sign-in.
Steps to achieve this:
- Add a pattern lock and other information that goes with setting up a pattern-lock recovery.
- Reboot phone and when the screen presents itself asking for lock pattern enter 5 failed attempts.
- When theprompts says to wait 30 seconds, press OK and find the recovery button where you enter google account info.
- After signing-in go straight to VPN settings and enter a new pattern-lock/pin.
If the above mentioned steps does not solve your issue go ahead with the alternative method.
Alternatively you can make use of 3rd party app called QuickShortcutMaker and follow the steps as mentioned here