Using Mac to connect PlayStation 4 to VPN
It sounds like you need an inexpensive switch. Plug the router in to the switch and your PS4 and Mac into the switch. 


TP-Link 5 Port Fast Ethernet Switch | Desktop Ethernet Splitter | Ethernet Hub | Plug and Play | Fanless Quiet | Unmanaged (TL-SF1005D), White https://www.amazon.com/dp/B000FNFSPY


You could get faster networking in your building to go to gigabit speeds, but it’s unlikely your VPN or internet are faster than the switch I linked to. This won’t solve the VPN side, so ask that on a network site or once your physical network is working. 

I would not have your Mac relay traffic when network gear is so much faster and power efficient.