Unless you live in a country where VPNs are banned or restricted, you won't be penalized for using a VPN. However, in the U.S. In the U.S. and other countries where VPNs are allowed, you could be prosecuted for any illegal activity you carry out while using a VPN.
VPNs are illegal in authoritarian states with strict Internet censorship, and their use is restricted. VPN connections can also be completely blocked.
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