I have had a Samsung Note 4 on Verizon, and frequently use a VPN. When I want to cast Slingplayer from my phone to one of our Roku devices (a Roku 3 and a Roku TV), I've found SP could not find them unless I disconnected the VPN first. A nuisance, but I could live with it.
I now have a Google Pixel XL and switched from Verizon to Project Fi. Unfortunately, Project Fi runs as a VPN on the phone. All network connections, WiFi and cellular, run through the VPN, so now I can't discover the Roku devices and can't cast to them.