VPN access using Homegroups is not a supported feature of Homegroups. You also can't use Homegroups while in a domain. So the behavior you are seeing is normal because Homegroups isn't made to work with a VPN.
Hmm Okay but I thougt that the HomeGroups work over the Network, and a VPN shows the Network and the Client that the Client is connected to the Network.
The new Windows server code named Vail will be able to use Homegroups so it will work over a non LAN network but none of the older Servers like Windows server 08 or 03 can use Homegroups and it won't work over a VPN or Domain.
Other than that Homegroups will only work properly on a LAN using all Windows 7 machines.