In some countries VPN itself can be an issue.
In Thailand, the Computer Crimes Act B.E. 2550 (2007) does not ban its use as such but under certain parts of the Act it is indirectly referred to and if it is used to get around government restricted sites (and any site can be blocked for undisclosed reasons) or for “illegal activities” which is typically porn or anti monarchy, then VPN is illegal in that the activity that it is being used for is illegal although the use of the technology is not.
Better not to use it here other than for Corporate work related WANs etc..