If you're running devices like ATV, Smart TV etc through your router, and find that you are being detected despite running a VPN on the router, we suggest that you change your router DNS settings to the standard google DNS servers.
This guide shows how to do this on an ASUS router. The principal is the same for all routers.
1) Navigate to you router config screen (normally 192.168.1.1 in your browser, or router.asus.com)
Login with the default credentials:
Click on the 'wan' icon on the left hand toolbar (see pic above)
Once you are in the 'wan internet connection screen' (as above), under 'WAN DNS setting', click the 'no' button, and enter the following in the boxes (as per the red highlighted boxes in the pic above).
DNS Server1 126.96.36.199
DNS server2 188.8.131.52
Click the 'Apply' button at the bottom of the screen, and wait for the changes to be applied.
Connect to the VPN again, and test your device.
Still being detected ? Ensure that the setting for 'gateway' or 'router' on the device is pointing at the router (normally 192.168.1.1)