I bought Mega Man X Dive Offline, really hyped for it, but then when I double checked my VPN, I realized it was set for the Netherlands.... Not good, I thought I had it set for the US as per usual.
Now it still showed the price in USD, but now I'm paranoid, I put in a refund explaining the situation and promising I'd buy it with the VPN turned off this time..
What's your concern? I've never heard any issues with purchasing anything on VPN. In fact, it's recommended to save money by getting around geo-pricing
It is against the steam subscriber agreement to use a VPN. Particularly if you're using it to get around a region restricted game. Will they check and catch you? Probably not, but they can. It's definately not recommended though.