I found an issue this weekend while testing some additional devices form home. I had configured a TMG PPTP VPN so that all my test devices (iPhone, Android Tablet, Mac, Blackberry) could connect and authenticate to it. But I ran into a snag. It appeared that randomly some of my devices could and then could not connect to the VPN.
PC would sit at authenticating username and password for ages and would eventually show the following Error 806
iPhone had a very generic error
Mac OS X also gave a basic one
And you have to love how they all tell you to contact your administrator - and it is often you!
I eventually traced down the issue to my home DSL router. What pointed me in the right direction was disconnecting my iPhone from my home WIFI and trying the exact same connect over 3G and it worked.
The problem is not having multiple session connected to the TMG VPN, this works just fine. As long as the connections do not come from the same IP as it would from your basic home router using simple NAT. To further complicate things, simply disconnecting the first device that connect does not solve the issue. In my experiences the only way to get the secondary connection to connect was to restart the DSL router.