@creekdale 

Beacuse a VPN hides traffic from inspection it is difficult to block.  a few option you have is 1.  You can look into a M.D.M  (mobile device management) app that allow you to manage the apps on your children's devices.  We do not have any recommendations on those though.  2.  Log into the router and create a whitelist for the specific devices.  White list can be setup under Access Control in the Security menu under Advanced options.  On the Archer A20 the White list will only allow access to devices in the white list.  All other devices will not be able to connect.