Somehow using VPN makes me feel safe while working with cryptocurrencies, like transactions, payments and buying bitcoins. I've been using surfshark vpn for almost 3 months now and I guess it's okay. I haven't really tried other VPN's though for I don't want to risk my wallet just to try other VPN. You know, like what's the point if I have my door lock for months and it's not even rusted. The largest risk with cryptocurrency is that online exchanges are vulnerable, as mentioned, to hacking they say. I know some may already experienced this kind of problem, and I wonder how you manage to solve this. As someone who hasn't encountered such, I think it's a good opportunity to ask someone who does and help me point out what other things to do to secure not just my wallet account but also my other personal accounts. 
A VPN is something you use when you don't trust the network you're on, like you're in the Hong Kong airport and you're using their 'free wifi' and you want to xfer some coins.
It can also (sometimes) be used to bypass some kind of country specific firewall but you'd likely just buy fireproxy for that or something.
As for 'hacking', nobody is going to hack your phone or bitcoind daemon or w/e it is you're using unless you've dropped it on a server
The largest risk with cryptocurrency is the exchange gets seized by the regime or the owners disappear with all your money, so choose exchanges where this is not likely to happen