UUHM, this can be quite risky, but I know there are people who are doing such things and they have never been caught, maybe because they are very careful and are experts in technical related things?

If you are not that technically advanced, better to just stay clear from this to avoid making a mistake that you would regret. Even VPN sites would warn you sometimes against using a VPN to bypass a site that has been banned by the government.

So, anyone that chooses to do so is doing at their own risk. For me the best thing to do in a situation like this is to look for an alternative if it is possible.