I got my EX2 because it was one that had the GPL source code released and the full kernel source. After some trial and error I was successfully able to set up an OpenVPN server on it (which works surprisingly well - streaming HD video through it!).
If you don’t mind voiding the warranty, I wrote a guide on how to compile a custom firmware here:
I know this post was made 3 months ago, so surely the OP has made the decision on whether or not to go for an EX2 for their needs…but this is for other users looking for the same info. TCWORLD’s writeup was very good - but if you don’t want to go through all the trouble of compiling your firmware (I believe he and I are among a handful few who prefer to build our custom firmware after making our desired changes) then do yourself a favor and buy a QNAP NAS instead of a WD NAS. Of course the price is much higher (but they have low end, cheaper NASes too these days) but you get VPN server and Plex functionality out of the box - just requires a few settings changes through their easy-to-follow browser-based GUI.