PIA supports openvpn which has clients on pretty much everything. PIA provides the config files to you and shows you how to install it.
If you don't use the PIA client then you also need to configure your DNS.
The PIA client on Windows does this for you. Ubuntu has a PIA one too, but it never runs as well as the openvpn client for me.
test the ip on the PIA website to make sure it's on. test the DNS leak from PIA's leak checker.
If you run it on the router then the same thing applies. It needs openvpn support, which is pretty common. pfsense runs well on KVM and ESXI.
If your internet is pretty fast I'd suggest trying to get AES-NI working which can handle around 500Mbs, which is about the best you can get on openvpn due to it being...