Eh Yes, here is why.
Paywalls are being erected everywhere online and content is being increasingly limited by country, territory or region, Users search the net for free Man Utd, Miami Dolphin games, NBA, Formula 1. Many of the free sites are run at a serious industrial level by serious criminal gangs,
these sites are set up to phish your details for credit cards, banking details, e-mail address, passwords. they could also infect your devices with malware, ransomware. VPNs services know most of the worst sites and tell you not to connect, as well as having online security features to protect you when you do connect.