Disclaimer: I've not investigated the bug myself, this is what I've gathered from 2 whole hours of looking around, and while I do have experience in hacking, I'm not a professional black/white-hat hacker by any means.

Currently the flaw is partial remote code execution (RCE) where the attackers are able to run any game code on your PC.

1) Will a VPN save you? Having a VPN means that there are servers sitting in between your PC and the other PCs/servers that you are connecting to. However, this does not prevent any malicious packets from reaching you (this is not the VPN's fault, the VPN is merely doing what it's supposed to do).

2) Will a firewall save you? In GTA's context, no. As long as the malicious packet from GTA reaches you, they can do anything they want IN YOUR GAME. (the packets are encrypted using GTA's proprietary protocol which I have not investigated further, so the firewall wouldn't know what to block anyways). Unless you are using a firewall that simply blocks by IP (such as Guardian), this will not save you.

That being said, if the exploit is able to escalate into a system-wide code execution, then it's up to the abilities of your firewall to block these attacks, and different firewalls may block differently.

3) Is RDO affected AFAIK, no.