Or the person you spoke is an incompetent employee who thought that the Lumia 2520 OS is the same as Windows Phone 8.0 which does not support or have any VPN feature. That will change eventually with Windows Phone 8.1AT&T says the VPN feature is not supported. I suspect they just don't understand the feature.
I am using ExpressVPN on my 2520. The paid program works for RT and full Windows OS