Allegedly it does, and I do understand the technical reasons why it would, but as I mentioned I haven't needed to.
By forcing UDP traffic through a VPN tunnel configured to run via TCP, you overcome UDP's inherent lack of reliability. TCP ensures all data is transmitted, and in correct order.
You do theoretically suffer more overhead/less performance but in practice as Civ is turn-based I doubt latency is a serious issue. Making sure the data that is received by all parties is correct and complete is more important.