I've tried it as I'm often interested in VPN apps. On my Lollipop phone it stays stuck at loading 10%, and then operation times-out. Although I'm in China, but it could be it's blocked somewhere or the Cyberghost VPN tunnel servers are down, that's what it looks like rather than a Lollipop incompatibility anyway.
As alternatives, you could look at "FQ Router 2" or "VPN Master", those definitely work, even in China.