@HiThisIsMyName I have upgraded to the latest known firmware version from within the router menus. I also included my firmware version in my post.

@Joseph-TP Hey, thanks for the response. It's definitely in router mode, not access point. I have supplied a screenshot.

Everything says I should be able to do this. It's a VPN supported router, the documents say I should have VPN Client listed as option. What gives? Is there some secret firmware out there to give me...