I've been using a VPN since back in 2.0 and Titan-HM was still a thing. Never heard of the risk the OP mentioned.

Regarding the ping, I don't know if it's different with other VPNs, but with PZ it shows the ping between you and PZ's servers, which does not accurately reflect the ping between you and SE's datacenter. PZ gives me the option to route my connection to New York, which would be the shortest distance between me and the datacenter, but my latency is actually best when I connect through Chicago. I confirm this by seeing how quickly I can interrupt my own spells ingame. Like running nonstop and hitting Medica 2; the closer it gets to finishing the spell, the worse my connection.