I was able to mostly follow these instructions and get pptp to work with ufw.
First, you need to apply the ufw [bodhizazen.net]
hacks to get it to work.
The instructions on this page are a bit garbled about what to put in /etc/ufw/before.rules. I put in
# NAT table rules
:POSTROUTING ACCEPT [0:0]
# Allow forward traffic to venet0:0
-A POSTROUTING -j SNAT --to-source <VPS ip_address>
# Process the NAT table rules
This has a side effect though. Everytime to enable ufw it will add the SNAT rule to iptables. It never gets removed so you'll have duplicate rules until you reboot.