A VPN either:
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Logs access/usage so it can be given to authorities. (And/or sold/stolen etc)
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doesn't log usage data and willingly accepts that some disgusting stuff will be done using their service.
1 might have to give browsing data if sued by a media company, 2 is ethnically bankrupt and shouldn't be trusted at all.
Doesn't mean their not useful, just be aware of who you are giving your money to and the limitations of their protection.