Is it possible to use internet connection sharing in windows 8.1 to share internet from a desktop that is connected to private internet access (through their app) with a router that is connected via Ethernet? I've tried sharing the VPN connection in windows with the Ethernet connected to the router and nothing happens. Is there a way to do this?
You're trying to share the connection with a router? That won't work. Or are you trying to share the connection with another computer? If you are, why? It's simpler to just install the same VPN application on the other computer if that's what you want to use.
Its going to depend on how the VPN is configured and how you are trying to share it. If the VPN is configured to prevent split tunnel this feature alone will either make the sharing not work or take the VPN down as soon as it detects you trying to share it.
So if we assume that the VPN allows you to share it, the next problem is finding the virtual interface the VPN creates. Although it is pretty easy to see this in things like ipconfig command the connection sharing applications can not always connect to these. Things like ICS really need something that looks more like a physical interface. It tends to work with VPN clients that install a device driver where java or activex VPN clients tend to not work.