I tested it with new OMV4 - IT WORKS!
I have defined problem:
Before setting VPN I have followed this video tutorial for docker which interacted with some things which I don't understand clearly:
How to Install Transmission with VPN on Openmediavault with Docker - YouTube
Solution to this is to follow more recent step by step tutorial:
How to Install Transmission with VPN on Openmediavault 2019 - YouTube
Conclusion: If something doesn't work and it is perfectly configured, then something else might interfere which its configuration "next to it". Solution might be turning services off.
Yeah you got to be careful with video about setting up dockers. They are great as guidelines but you should always follow the dockerhub instruction and permissions. It can save you a lot of head scratching. popular images are constantly changing and being updated. Most dockers need PUID, PGUID, TZ, and a config location mounted.