I installed a couple of VPN apps (VyprVPN and FlashVPN) on my Nexus 6 and Nexus 10 devices. Trying to connect, I got an Android pop-up asking me to confirm I wanted to make the VPN connection [options: 'Cancel' - 'OK'].
The 'OK' button was unresponsive, I had to press 'Cancel'. Took some Internet searching to discover that the problem was Twilight, the screen-dimming app which runs as an overlay. Turns out it was masking the button from Android.
Twilight interferes with other apps too, such as Microsoft's Word for Android.
The solution is just to open Twilight and turn the app off (or use a force stop in 'Settings'). Twilight is useful in the evenings, but should always be a suspect if something is going a little awry.
Keywords: problem connecting with VPN