It's funny, I've had very differing experiences year-to-year. Two years ago, it worked great, no issues (worked 90-95% of the time). Last year, lots of issues (worked @50% of the time). But this year for whatever reason, it's back to working at least 90% of the time and I've had no issues once I got it all figured out. Is it a pain? ehh... only slightly. It's one extra step to load the app on my smart TV or computer or phone or iPad before starting the MLB app. But honestly, this year it's been great.
If you already have an MLB.tv subscription, most VPN's offer free trials to test it out. Happy to provide tips for anyone that wants to give it a go.