Something similar happened to my account on the OKX exchange a couple of days ago, when I logged in to the exchange, forgetting to turn off the VPN. Just a few minutes later, I received an email demanding that I confirm my location by 2025-06-06. Before verifying my residential address, I decided to withdraw all my coins from the exchange.
As for me, I rarely use a VPN but I already receive such a confirmation if it was really me who is making a login and the location shown is sometimes different. I don't really know on why it occurs. It is good that they don't seize our money but what if the person who logged on is not us but rather a hacker? Or thief?
This is where the problem occurs. For sure that criminals will not go back on our accounts, so asking a late verification can be useless, but us a true owner, will likely continue using it, so we will do what is being asked to us by the exchange. A thing like this is hassle even though it is safe and we are confident but if we have other devices, we can dedicate them for use of our trading activities, so that we can avoid the same mistake from occurring again.