TL;DR: you probably have an encrypted home folder.
I have just had to install the PIA (Private Internet Access) VPN on a brand new Linux Mint 18.2 machine and I was surprised to see that, despite the installation completing successfully with no error messages whatsoever, connecting to any VPN server would not work. The application would start connecting, only to disconnect every time about a minute later.
I had no firewall blocking VPN access this time, neither on this machine or on the network, so it had to be something else. And I wasn’t the first one to stumble on this issue. The first help resource I tried was this support article which recommends to trying different ports. Needless to say, it didn’t help.
But then, upon further googling, I found this discussion, and this post in it specifically:
Pia does’t always like encryption, it will not work if you encrypted your Home folder.
Ah! That’s it, I do indeed have an encrypted home folder on this machine. From there, it was easy to find the relevant support article: Installing the PIA app on Linux with encrypted home directories.
Basically, you need to move your PIA installation outside your home folder. The support article recommends moving it to /opt/ instead, which is a good recommendation:
sudo mv ~/.pia_manager /opt/pia_manager
At this point, create a symlink in your home folder pointing to the new location so that things don’t break:
ln -s /opt/pia_manager ~/.pia_manager
After doing this, my machine connected instantly.