Well, as there was no response in a timely manner (before I purchased an XR500), I am here to record my conclusions about using the vpn client function.
To sum up: Lousy.
With VPN enabled (with the closest server possible), I observed an average * of just 20 Mb / s for download and 15 Mb / s for upload.
The performance of the XR500 operating the VPN is similar to that of Synology RT2600AC. Both have considerable hardware, as well as a good operating system, but for VPN they are rubbish.
Regarding the XR500, it is quite pathetic to implement (and do a lot of marketing) the 'VPN Hybrida' function, even though you know that the hardware was never designed to perform VPN, at least not reasonably.
* in the tests, I used two VPN providers (ExpressVPN and Astrill) and a 400Mbs internet.