Try customer service. I bought this as a gift for my dad. I remember it being pretty imtuitive on setting it up in the network settings. I say try contacting Sony or keep even ask google "how do I add my smp-n200 to a VPN".
I purchased this device from Amazon US, and enjoying it thoroughly. About the VPN, well like mike said , the best way to get info is to contact Sony technical assistance. and if like you say the sony logo is not showing up, that device may be faulty. talk to the sony customer service.