A newbie's question is how can I make my iPhone connect …

[simbun]

UPnP discovery doesn't work over a VPN so you need a control point that allows you to manually configure the server's connection details; on Android MediaMonkey and foobar2000 allow you to do this. Whilst BubbleUPnP can't connect directly to the "remote" server it can via BubbleUPnP Server.

Whilst I'm not a fan of Plex, PlexAmp is probably the simplest solution for iOS users, though I believe Synology has their own solution too.