I don't use a VPN so I can't speak from personal experience.
I don't know if this is down to the sites as many are able to detect VPN and don't allow VPNs and break the connection. I don't know how they manage this but many do.
I know for sure that the BBC (British TV) is pretty hot on it as they are ensuring only British TV license holders get in. I'm sure there are Brits that don't have a license but manage to connect.