Why can't I navigate to my own IP in my VPN?

Episode 1620 (37:35)

Brett from Fort Worth, Texas
ExpressVPN

Brett has moved to ExpressVPN, but he's having issues surfing to his own IP. It worked fine with his old VPN, but not ExpressVPN (who is a sponsor of the TWiT Network). What can he do? Leo says to check your router settings. It may be that in your devices, there could be a security issue that's blocking it. Leo does that with his network for his NAS. Leo also says that Brett's problem may be due to his previous VPN being less secure. 

From the chatroom: many firewalls see outbound traffic coming back in, and it's blocking it. ExpressVPN may not support disabling it. Here's a technote from ExpressVPN about "Network locking" in ExpressVPN - https://www.expressvpn.com/support/troubleshooting/restore-lan-access