This is known as "split tunneling" and is also the easiest way to open your entire network to vulnerabilities.
With this option, the remote PC is directly connected to the Internet and to your network. If the PC is compromised, the attacker could then have a direct link to any and all network resources available over the VPN. This solution is a BAD idea, and most network professionals would avoid this at all costs!
The VPN connection uses the default gateway on your network. You may have a firewall that only permits selected addresses to the internet. If that is the case, the address range associated with the VPN users must be added to the permitted range.
What network address range is assigned to your VPN users? What's the internal network range?
Do you have a network proxy server? (your VPN clients will need to use it if you do).
The MS VPN solution (RRAS) should not be limiting you from accessing the Internet - I'd look at other network components, starting by - can you access the internet from the VPN gateway server?
Glenn
Glenn