The truth about VPNs?

So I'm pretty recent to the high seas but I've seen a few posts now about "stop relying on your VPN" and "people that think VPNs will protect them are naive" and so on.

So since I believe knowledge is our greatest weapon/tool/super-power, can we get some answers regarding what exactly the doomsayers are getting at? ELI5 why VPNs wouldn't protect your anonymity.

Is it about logging? The country your end-point is in? Something more technical?

Ultimately I'd like to be fully armed in order to keep making the best choices for my fledgling ship as it navigates the vast, stormy seas.