Don't look to me as someone who knows what they are talking about, but I can tell you this. You can get a speed test through a VPN. I have done it multiple times. And, I can assure you, the server is secure. I think it just has to do with what traffic is allowed through the VPN. For example, some sites I cannot go to but others I can. Also, some speed test sites don't work because they use java or flash which apparently aren't allowed on out VPN.
Don't know if it helps or not but that's my 2 cents.