I wanted to set up a VPN connection for my Apple TV to use for the MLB.tv app. There is no express VPN app for Apple TV. So the next option I guess was to try to add express VPN to my router. My router is an ASUS RTAX86U. And it doesn’t allow you to add the express VPN to it. So the next option I guess was to use OpenVPN. I’ve used this in the past and it does have an effect on my network. I did set up an open VPN profile for the Apple TV and for some reason my Apple TV would not connect to Wi-Fi. I do like that I am able to set only certain devices on my network to use the VPN but for some reason I could not get the Apple TV to connect. So the representative at ExpressVPN told me the best option is a second dedicated VPN router. Is this really the best solution?
Get the express VPN router
The upcoming TV OS 17 contains support for third party VPNs. It is likely that Express VPN will support this at some point. They are aware of the demand.
Not exactly what you’re asking, but — why are you looking to use VPN for the MLB.TV app? Reason I ask is that I am in located in Mexico and I am able to watch most games on MLB on Apple TV (only exception are games blacked out due to being shown on ESPN and other networks, and this is not often). My Apple TV does have MediaStreamer DNS activated, but I don’t think this is the reason I can watch games on the ATV, as I can also watch them on my iPad without having to activate an ExpressVPN connection.
Edit: Perhaps Mexico is in the “allowed” geo zone for MLB, and you’re in a restricted zone? Let us know.
I have exactly the same router. You can set EVPN using OpenVPN profiles and it’ll run smoothly. If EVPN had Wireguard it would be running even better. You can make on settings which device use VPN connection and which won’t.
Asus is simply the best router in the market right now (my humble opinion).
MLB has blackout for local games.
Ahh, didn’t even think of that 
In that case, an ExpressVPN router should do the trick. I bought one of their recommended units (Netgear Nighthawk, I think?), flashed it with the EVPN firmware, and it works like a charm for me. I do not use it for MLB games, as none of my games are blacked out for being “local games”), but I can vouch for its ability to show other geo-restricted content on Apple TV.