Please note that there has been a change in the setup that is NOT reflected in this movie.
When starting the VPN please choose one of the four new connection options: TCP_443, UDP_443, UDP_53, or UDP_443. These are the port (443 and 53) and protocol (TCP and UDP) combinations that are available to you.
The UDP connections are the fastest and most resilient to dropped packets but UDP packets are not allowed on some networks. In that case try the TCP connections. TCP_443 should work anywhere that allows https connections.