Very Strange. To be honest, I took it off my Ouya when I wiped it and started everything over (long story). I haven't bothered to put it on since (lazy). I'd recommend going to PIA and asking, they're quite responsive to customer service questions as I found out when setting up my Ipad with Open VPN and PIA.
If its the app thats not working quite right on the OUYA then Open VPN may offer a solution, but you can only easily choose one location. Its quite "involved" but may work better.
Strange how they would not help.....Glad its sorted though.
Just to add, I was having weird and wonderful things happening on my Ouya too, about 3 months ago. It was hanging and freezing. Factory reset did the trick with mine too. Its like it got muddled up with everything.
Usual saying goes though. "Have you tried turning it off any switching it back on again!"