Issue with Arris Gateway and Pfsense

I recently bought a protectli firewall box that runs pfsense. I am trying to use the box as a dedicated VPN for my home network. However, I have never been able to get the  VPN on my firewall box to connect to the internet. I currently have a modem/router combo (Arris TG1682G) through Cox, and the pfsense box is connected to it via ethernet.

My current setup is: wall >> Cox modem/router >> pfsense box connected by ethernet >> computer connected to box by ethernet.

On my computer, I can get internet access from this set up. I can browse and stream, but my actual IP address is exposed. The VPN on the box will not connect and the kill switch does not engage. I have tried putting the modem/router into bridge mode and even disabling NAT on the box. No dice.

For those who have a Cox modem/router and are using your own firewall, how did you do it?