There is no option is to add VPN on any of Arris modem or gateway, only it can be added on particular client device. SBG8300 you can only setup VPN passthrough. To establish a VPN connection from the VPN clients connected to the SBG8300, VPN traffic must be allowed to pass to VPN clients in the home network.  PPTP VPN is supported in the SBG8300.  By default, VPN passthrough settings are enabled.  One of many steps of troubleshooting for VPN connectivity issue is to make sure the VPN passthrough setting is enabled.  This document describes how to enable PPTP passthrough in the SBG8300.

http://arris.force.com/consumers/articles/General_FAQs/SBG8300-VPN-Passthrough-Setup

ALG is not one of the options under Advanced, using MacBook Pro

SBG8300 Wi-Fi cable modem will support for third party VPN. 

There is no option to enable in GUI web portal.