I had this problem at a client's a couple of years ago.  The reason for the problem was that the data files (*.sai file and *.saj folder) were stored in the user's My Documents on what would be your first laptop.

When you think about it, My Documents are for me or the user of the computer who is currently logged in.  So Microsoft says if My Documents are for the person logged into the computer and the user put the files into My Documents, then they must NOT want to share them or they would have put them somewhere, where the other person could find them easily.

So the solution was to create a folder on the C: drive of your first laptop, (I used c:\SimplyData), make sure it is shared properly through Windows.

Then copy the files to that location and rename the originals so you don't use them by accident.

Then on Laptop 2, set up a mapped network drive that references that share on Laptop 1.  I always use s:\ for Simply files.

This resolved the problem for my client.  It may or may not be related to the location of your data files but it was in my case.

Sorry, I don't use VPN's for database work so I have no experience.  However, it does lead me to believe the VPN is not passing all information across, so you might have to unlock a port to get the communications running.  Have a look to see if unlocking 13531 will help.