No VPN is pre-installed. Recommended apps: NordVPN, Private Internet Access (PIA), or IPVanish. Always install the version from the vendor's own website — some app-store builds are broken.
Download the Android TV APK from the vendor (e.g. https://nordvpn.com/download/android-tv/), copy it to a USB drive, and install it using the on-box File Browser app.
If your VPN drops after a reboot, use the air-mouse pointer to reach the connect button. A VPN can cause heavy buffering and data loss on live TV — if you get freezing, test with the VPN turned off first.