It was already executable and I did it again with and same error. Even preconfigured aws and Netflix have the same issues.
root@router:/etc# chmod +x /etc/vpn-policy-routing.vpn.user
root@router:/etc# /bin/ash /etc/vpn-policy-routing.vpn.user
ipset v7.6: Error in line 1: The set with the given name does not exist
root@router:~# /etc/vpn-policy-routing.aws.user
-ash: /etc/vpn-policy-routing.aws.user: Permission denied
root@router:~# /bin/ash /etc/vpn-policy-routing.aws.user
ipset v7.6: Error in line 1: The set with the given name does not exist
You have messed up something in your system, the file can run fine without calling ash.
root@magiatiko:[~]#vim /etc/vpn-policy-routing.vpn.user
root@magiatiko:[~]#nano /etc/vpn-ipv4.list
root@magiatiko:[~]#chmod +x /etc/vpn-policy-routing.vpn.user
root@magiatiko:[~]#/etc/vpn-policy-routing.vpn.user
ipset v7.6: Error in line 1: The set with the given name does not exist
Still, you need to fix the errors, starting by creating the ipset.
I configure some other rules and these are working with some warning like this
Service Errors
Error running custom user file '/etc/vpn-policy-routing.vpn.user'!
Service Warnings
The 'resolver_ipset' is set to 'dnsmasq.ipset', but DNSMASQ ipsets are not supported on this system!
root@OpenWrt:~# /etc/vpn-policy-routing.ca-ipv4.user
ipset v7.6: Missing second mandatory argument to command add
Try `ipset help' for more information