CyberGhost is working fine with RM for me. I am using a custom client that I wrote myself, but that shouldn't really matter to be honest.
Edit: I can reproduce this with certain CyberGhost servers.
@Arbiter are you blocking any VPNs?
Edit 2: Actually that's fucking weird as fuck. When I connect through my own application which connects to CyberGhost's OpenVPN servers (the application is basically just a GUI on top of OpenVPN which pulls JSON from CyberGhost to get things like configuration files & usernames & passwords), everything works fine. But when I use the 'official' application, it doesn't connect. No idea why this is tbh. Try using OpenVPN.