Recent versions of Roon on iOS (but not MacOS) had issues playing locally on the phone over VPN (OpenVPN and Wiregard).
Details:
Recent versions of Roon on iPhone/etc were unable to tell the Roon Core that they were a valid audio output device as part of discovery over UDP/9003. The reason for this was that the firewall/etc running udp-proxy-2020 was generating ICMP Port Unreachable messages in response to the Roon client on the phone. These ICMP messages were causing Roon (which is written in .Net) to close the listening port and not receive messages from the Roon Core.
The fix for this is to open a listening socket on the firewall/etc running udp-proxy-2020 so the firewall/etc does not generate the ICMP messages. Users running udp-proxy-2020 on the same host as their Roon Core should add the flag --no-listen to disable this feature.