@Kevin_Z but that is exactly the problem
In the end I bought a ASUS RT-AX56U router

It has OpenVPN client capability that works perfectly

And it is able to use the Wifi 5Ghz from Channel 36 - 64, 100 - 140

Where my TP-link could only do 36 - 48

So I ended up being quite happy rather buying a Asus router
 

@Veneficus 

Thanks for it! I will also choice you purchase one for my next router, TP-link doesn't hear customer experiation.. Really disappointed. 

I must say that when I was buying TP-Link I had a feeling that it would not be a good purchase. It never occurred to me that it wouldn't have a VPN. Next week, it'll go to the bottom of the drawer as a reserve, or I'll sell it. No more TP-Link router. After old Linksys that is a lof ... (You know what)

@payong too bad that TP-Link doesn't support VPN client. Also very very few models that will support one mesh.

I'm ExpressVPN user, so I found the instruction "How to set up ExpressVPN on a TP-Link router with L2TP" (links are forbidden here, oh c'mon!) It actually works with my AX1800 while I'm posting this. Although, it requires testing under high load, and I'd rather prefer to keep my uplink intact, it'd be nicer to have a separate VLAN or a set of routes to connect through VPN only. It seems possible on DD-/OpenWRT, but this router is not supported (yet?)

@odhiambo 

Only Registered just now (Had to!)

Just to say, it blew my mind after buying a high end TP-Link home router that "Supports VPN" that it doesn't support a VPN client?? Just a host?

So whilst the 0.001% of people that want a host may be happy. The firmware doesnt include client for everyone else?????

Brilliant router on all other accounts, but will never recommend TP-Link to anyone as its just crazy!

@odhiambo, yes, these routers can work as VPN clients if your VPN provider have L2TP endpoints, see my previous comment.

@Grez, you may have been confused by the name: this is "tp-link", not "linksys" or whatever, it's cheaper even if it's high-end. IMO this hardware is worth its price, hopefully someday we'll have DD-WRT support. No hope for tp-link guys, their software sucks.

@Uncle.M PPTP and L2TP client is supported

However both of those have serious limitations 

Which is why so many VPN providers have been downscaling their support

These days it is laughable that a router suplier like TP-link do not support OpenVPN client on their routers

As for confusing its name 

They are cheaper than some but adding this should not be that hard

Except TP-link seem to believe that certain base functionalities should be business only features

Same reason why they limit the 5ghz Wifi to the 36-48 range

5ghz Wifi has so much potential to insure you and your neighbours are not on the same range

Oops except if you have TP-link routers then have fun you will be on the same range and you will not have a option

What a bummer!
I just bought an Archer VR400 for OpenVPN and I find that the VPN client does not work. 
I hope but not much that TP-Link will reconsider this decision not to offer this possibility.

@Carl so you have the model list? Or it's in the website.