If the VPN Server is an OSXS box, then the VPN server dictate which IPs should be routed through the VPN or the local connection, i.e., this is not a client setting. This is also the same for a Cisco VPN client.
However, if the VPN server is a Windows server, then this is a setting choosen by the client; however, the MacOSX VPN client when connecting to a windows VPN server does not provide this option. A true bummer - hopeflly we'll get the ability to change this in Tiger.