webmail providers, banks and similar websites ask for verification to make sure it really is you trying to log in when you use a vpn service. some websites even block vpn services' ip ranges. unless of course you use an anchor/static vpn ip every time you connect to those websites?
I just use the included Windows VPN along with Remote Desktop for times that I need to the server at my work when I'm at home.
Never had problems, so far. I can access my bank account even if my IP (VPN's IP) is from abroad and not always the same one. Also with Gmail, no issues. Unless I log in from VPN IP, log out and few seconds after log in again from my real IP or from another IP. (but usually I do not do it).
im looking into doing the same. unfortunately it's a little bit more complicated on linux. i will also use VPN to log into banks, glad to see you had little problem. although i will probably call in my bank and tell them that Im using a server in another country to log in.