After two or three promises of calls back that did not materialise I called this number 08454 04 05 06 (consumer direct), went to this webpage, filled in a template, and sent a letter off initiating legal proceedings in an attempt to get a refund:
Almost immediately a call was returned by a member of 3 staff who seemed able to initiate some action. Initially she wanted to take me right back to the beginning again (test it over the 'phone, send it in for repair etc.). Eventually she referred it to a technical team, who asked for the exact VPN error message, which I duly gave passed on, a later call back she said the technical team had asked for the error number, which there wasn't one ("Unable to connect" was all the error message said). A later call back and she said the technical team had advised her that the error message indicated that it was an error with the VPN provider and settings and not the 'phone (I can see the reasoning here). However I pointed out to her that I had tried AveVPN and PureVPN (who actually support Android), and neither had managed to get it working. I said I would try a third VPN, but if that did not work I think it could be reasonably concluded the 'phone was faulty (she replied at this point that they would take the 'phone back for repair - can you believe it!). She did actually say that the technical team had tested a 'phone using an internal test environment, and I did say if she could give me the name of a VPN provider that the 'phone was known to work with I would be happy.
So, I'll try one last VPN provider, but then more letters and legal action. (I really don't need this crap, I'm sure the whole thing is costing 3 a small fortune as well.)