When using the device with the supplied conductive paste, you may feel very little or nothing at all from the stimulation. This is perfectly normal.
If you are unsure, try using the device without the conductive paste. You should feel a tingling or prickly sensation, which some people find unpleasant. The conductive paste is included to make stimulation more comfortable.
If you do feel something, this will be a result of activation of the sensory receptors in your skin. It actually has nothing to do with stimulation of the vagus nerve, which runs below the skin.
Your skin contains receptors for pain, pressure and temperature. What or how much you feel (with or without paste) is dependent on a number of factors including your skin type and sensitivity. Most scientific and clinical studies which investigate the benefits of tVNS will set the stimulation intensity to a level that is completely (or almost completely) imperceptible.
The device itself measures the flow of current. If no current is flowing this will be indicated.
If you prefer to feel something, use the device without conductive paste (or with very little) and set the intensity to a level that you can tolerate. You may find that after some time, your skin becomes accustomed to the sensation and can tolerate an increased intensity. You should set the level to the maximum you can tolerate without feeling discomfort.