It does seem to be the case, what rom were you on previously and did VPN work then?
None of our stock roms (by stock roms I mean for every dell device) have tun.ko (by default) and I havnt changed the kernel at all from ICS-B4.
If it worked in B4 then it might have been something from my end, if it didnt then there's nothing that can currently done.
Edit: I will be uploading the full version of CM9-mod soon, flash and fac reset and test against that.
As the prerelease is just that, it doesnt sound like something that would be fixed in the full version, but lets just check and confirm.
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Nexus 4: Stock JDQ39 (4.2.2) Nexus 7 Sucessor: Waiting for it
iTouch 5G: Stock 10B146 (6.1.2) Venue Pro: Stock 219-33 (7.10.8862.144)