I thought I would share this and hopefully Vypr can figure out a way around it.
I opened the VyprVPN app on my phone. After clicking Connect, a window pops up to "Allow connection" It says VyprVPN is requestion permission to set up a VPN connection that will allow it to monitor network traffic. Only allow this if you trust the source. An icon will be shwon at the top of your screen while the VPN is in use. Allow? The options are Cancel and OK. I can click Cancel. Ok is unclickable and not greyed out.
My friend has the exact same phone and I tested this out and it connected without a problem.
The issue was my phone has an Exchange account (Setting>Accounts>Microsoft Exchange) to get corporate email. As a part of that, work is a Phone Administrator (Settings>Security>Phone Administrator>Microsoft Exchange).
I deleted that account from the phone, rebooted and was able to now click the OK button referenced above.
I then added back the Exchange Server Account while connected to Vypr and was able to download all the data back to my phone over VPN. Unfortunately when I disconnected and then tried to reconnect the same problem exists.