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I haven't because I use VPN once a while and once the purpose of me using it ends, then it becomes of no use for me then to exit it and disconnect, but before doing that, I ensure closing the tabs opened and websites am using the VPN for, if I don't do that before switching off the VPN, the IP address will change and it will rang an alarm on security bridge on their network if am visiting from a restricted region or so, that's why we need to read very well the terms and conditions of a platform before using them, some allows and done do not allow for the use of VPN.
Does the VPN work if customers use the app instead of the website?
I tend to prefer accessing exchanges using their official apps rather than the web, I find it easier and simpler. Using a VPN to access a government-restricted platform seems to violate the platform's terms and conditions, so I agree with you that the terms and conditions should be read to avoid not expected problems.
So far I am a user of binance and some local exchanges, all of them require me to pass KYC. The level of KYC actually depends on the needs of the consumer and I don't think the platform forces every user to pass high level KYC, but if they detect something malicious then the platform can take precautions.