My experiences with VPNs vary depending on the vendor and version number of the VPN software in use. Sometimes it is transparent and other times it impacts ability to record, and other times I have seen playback problems.
The one sure fix is this; put the opensta load generator on the other side of the VPN (on the same LAN as the system under test.) OpenSTA has very light CPU and memory requirements and the average laptop running XP pro or a small server running 2003 will do fine for 100s of users.
Given my experiences, I would not accept a project that requires the me to do load generation over a VPN. Besides the potential problems recording or playing back, you are load testing VPN software/hardware first, and your application servers second. Not a good idea.