OK, so it's taken a while but I finally got my Wii connected to my VPN. At first I installed Windows XP in Boot Camp, but then it turned out that Connectify can only broadcast an access point in Windows 7 (Ad-hoc is all XP is capable of), so then I installed Windows 7 and set up everything again.
Once I did all that, I tested out 2 games, Mario Kart Wii and Black Ops. Black Ops connected to the server fine, and I was able to check players' stats pages and see the lobbies and members online, but it never connected me to a room. I tried at least 10 times and the lobby would just not move me into a player room. Oh well. Who knows why it wouldn't work...
Next I tried Mario Kart Wii. It connected quickly and matched me in a battle against 11 other racers. When it introduces your opponents at the start it said I was from the United States (maybe because my Wii and game are American?). Anyways, I played two battles all the way through and there was no lag. I realize that a 12 player race probably isn't a lot of load on a server but still I was kind of shocked at how well it played, considering I couldn't get anywhere in Black Ops.
I'll try more Nintendo titles in the morning, hopefully they work as well as MKWii did. I can't recommend this VPN just yet, will have to see how it handles an MMO first. Maybe I'll reinstall FFXI and put it through the paces in dynamis.
I'm just glad to have a working VPN connection to my Wii, to tell the truth. It took a lot of trial and error. Damn you, Square.