SQM cannot do miracles; if you decide to use vpn, then you are adding some more hops between your router and the server you connect to. Consequently you increase the latency in a way that SQM, or anything else, is unable to help.
My advice is that for a handful of devices always connected to vpn, a set of rules/routes for each internet connection is enough. Otherwise for more complicated scenarios and easier on/off toggle, vpn-pbr is the way.