This is perhaps the biggest drawback of parental control solutions. They do not prevent kids from using a VPN, and even the basic ones that come as browser extensions will allow them to browse the web freely. To block VPNs, you will have to add the custom block feature and add keywords such as VPN and proxy to restrict the kids from using this to bypass your controls. However, VPNs that do not have these keywords won't be blocked, somewhat reducing Net Nanny's effectiveness.