Try to connect to different countries from the list. If problem is not resolved, please firstly try to change the VPN protocol from L2TP to PPTP:
run VPN Shield Preferences from application menu, click "Advanced" tab, change Preferred VPN type to PPTP.
Also could be helpful to check service from another location(WiFi). If that works from another location it means provider between you and our server block VPN.
If problem still there please do the following:
1. Run Console applications (that is pre-installed Mac OSX app) before connecting VPN.
2. If problem appear, please send us all the output from the console for analysing - you can save to external file with clicking File -> Save Copy As ...
We need that information to get more details and find solution faster.