Another update.
First of all, the VPN Fusion functionality they advertise is absolute garbage. Almost criminal to advertise it the way they do. Extremely buggy and unreliable. What I am sharing below may or may not work for you.
In order to get the below results, you have to DISABLE Game IPS. It blocks something on VPN connections, particularly when working with L2TP. Also, after every change you make you have to go to the VPN Fusion tab and re-apply the page. Also, after every restart of the router, you have to go to the VPN Fusion tab and re-apply the page. The Exception List WILL NOT WORK unless you do this. Listed from best to worst.
PIA L2TP - Best and fastest option. Allows to default to VPN over entire network, while making exceptions for PCs to bypass VPN. Googles DNS under WAN (8.8.8.8, 8.8.4.4)
Nord OpenVPN - Average speed. This allowed me to default to VPN, but did not allow me to make exceptions for direct internet access. This allowed to default to direct internet, and make exceptions for VPN as well. (Nord DNS under WAN)
PIA OpenVPN - Average speed. This has not allowed me to default to VPN over entire network. I have been able to make exceptions to PCs to go through VPN instead of default open internet. Googles DNS under WAN (8.8.8.8, 8.8.4.4)
Nord L2TP - Worst option. Slow and I could not get it to work properly. (Nord DNS under WAN)
With VPN Fusion, take everything I am saying with a grain of salt. However, the Private Internet Access L2TP has gotten me the best VPN speed and stability by far.