VPN is supported by your software, it's not a problem with the computer. This sounds like a configuration issue. You're likely looking just for a VPN client. NetworkManager (the service associated with the icon you're apparently clicking to pull up the dialogue with the grayed-out Add option) doesn't have any VPN plug-ins installed by default, which is probably what you're noticing. Have a look at the Ubuntu community docs:
You'll want to read that whole page, but the configuration info seems to start with "Installing and managing a VPN connection".
Hope it helps