Torrents, Netflix etc work fine over HMA, UDP isn't a problem.
A HMA VPN will terminate on the remote host and you will route through it to the internet, you will appear to have a new IP address. Since you have just tunneled over your router you nolonger have it's firewall protect you are limited to the firewalling provided by the host. If that firewall is tied to the underlying interface it too is snookered since all it can see is a bunch of encrypted rubbish.
I currently have a HMA VPN up and running on a linux brouter and if you nmap to that IP address you can see all the ports that are open, hence an incoming torrent client will have no problem connecting to you. I have dropped the VPN for now until I figure out the necessary config to stop it being so exposed.
The PC HMA client is more sophisticated and things might not be the same (but I suspect they are).
Easy way to check what you are leaking, set up tunnel and use one of the online nmap sites to port scan your new IP address.