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..
(assuming your home country is USA) You are allowed to purchase games from US websites while you travel. As long as the purchase is linked to your US payment method, with US residence address on the bill, it does not matter where I'm the world you connect from.
You might raise suspicion if you bought something via NL VPN, using Dutch credit card and address. Otherwise you are all good.
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.
The reason you set a steam shop location. If it's longer term it may be beneficial to change the region but usually you can let it be whereever you want.
I've never heard of that. Pretty sure even if they cared about that for some reason, there would be nothing they could do about it. What are they gonna do, take you to court? They can't prove you weren't in the Netherlands.