I don't use VPN for trading, personally I always classify it as tunnelling application which can be compromised by the providers, implication of using it is that vital information of the users can stolen like passwords and other valid documents, although my country allow the of cryptos thus giving me the freewill to trade and transact it.
If you are using a free shady VPN then you have a point that they could have a backdoor and steal things, never install anything that is shady because it is free. When it comes to trading there is no point in using a VPN when you are submitting all your credentials to an exchange if you are trading with them.