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A VPN isn't going to protect you from malware or trackers. I'm not sure how they can get away with this marketing.
If you want to boost your security focus on your web browser
They have some additional services they advertise that supposedly deals with these, though I'd imagine they require installed software which would give them more visibility into systems than I'm comfortable with.
For trackers and to some extent malware, they could potentially block some by disallowing outgoing traffic from the VPN to known tracker IP's/domains or C&C hosts/networks, but I could see that being fairly infectivity overall with potentially for false positives.
VPNs are great for avoiding the nastygrams that your ISP forwards to you from media companies. They get sent to some company that doesn't care about US laws instead, and probably laughed at before being deleted