You are right, but most exchanges used are centralized, they have terms of service. VPN usage may not be allowed, like on HitBtc, VPN is not allowed, I am not certain about this 100%, but if I am using their app to trade, loading it on VPN will not work. But for privacy, better using VPN but this can only be effective in very few exchanges but on noncustodial wallets.
It's pretty simple. If a certain exchange I'm using doesn't like the fact that I personally use proxies/VPNs, then I simply ditch that exchange for another, and I stop recommending that certain exchange to other people.