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.