I found that on clear install of Fedora 24 VPN connections (with network manager) are not working out of the box.

There was no visible error, actually nothing happened, but when I typed:

journalctl -u NetworkManager

I received such error:

To fix it, You need to edit /etc/modules-load.d/netfilter.conf and add lines:

nf_nat_pptp
nf_conntrack_pptp
nf_conntrack_proto_gre

after reboot it should work properly.