"Not supported" and "doesn't work" are two different things. The many thousands of satellite internet folks using VPN all day long to telecommute will tell you that it most definitely works, but is generally about dialup speed. Constant-on makes it typically better than dialup.
A number of VPN solutions require a publicly-addressable IP to function well, and with HughesNet at least, that is an extra cost option (comes with a Static IP account - the static part isn't the issue, but public addressing is).