Everyone should be aware that while VPN's will change your location and funnel any data through it, they are not necessarily as safe as you might thinl. They are effectively a middleman sitting between your internet and the location of the website/service that you're trying to access. Always remember that information is passing through a third party who could be "sniffing" it for all kinds of sensitive information which could put you at risk. Every password you enter is potentially exposed and even if the VPN company itself is completely honest, they might be vulnerable to all sorts of hackers who will silently siphon off useful data. It might mean nothing to access a relatively locked down casino account, but if you forget to turn it off and log into your wallet - then it might become vulnerable.
I've heard stories like this before but I'm not sure if it is real or maybe they only try to scare the people that uses a VPN just to bypass the blocked sites and if it's true then why do we have a good quality of VPNs? VPNs that are premium or for sale like Nord VPN , hidemyass and others. They won't become popular if they are shady but I know there are fake VPN and they are the ones that are dangerous because the things that you said above can happen to them.
If ever we will use a VPN, we should only go for the trusted one but they aren't usually free. Anyway, the op didn't use any VPNs in this procedure but he only tweak some settings inside the browser.