It's advised to use a VPN if you can, both for privacy and connectivity advantages.
I don't get a steady stream connection with the shield if the VPN is off, works great when it's on though.
@Fozzy did you ever get your lagging issue sorted?
I use a Samsung smart TV / Tivimate / Shield 2017 combo and it works great. There seems to be little hardware differences between the 2015 / 17 shield (CPU/RAM the same) so I suspect your device is not the issue.
If I experience lag or...