A VPN either:
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Logs access/usage so it can be given to authorities. (And/or sold/stolen etc)
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doesn't log usage data and willingly accepts that some disgusting stuff will be done using their service.
1 might have to give browsing data if sued by a media company, 2 is ethnically bankrupt and shouldn't be trusted at all.
Doesn't mean their not useful, just be aware of who you are giving your money to and the limitations of their protection.
Even better if you use the new .zip tld as valheim mods are (probably?) Zips?