They don’t keep you safe. They make is slightly more difficult to get to you and often copyright holders won’t bother and focus efforts on other lower hanging fruits — i.e. users that connect directly and can be identified by asking ISP for the customer that had the specific IP assigned at the specified time.
With VPN it takes a bit more steps to get to you and/or the process is longer and it simply is not worth the effort to find a dude who downloaded a song; but it’s naive to think that even “no logging” vpn will protect you. For instance, it does nothing against correlation analysys.
The only reasonable way to be safe/hard to trace is TOR but you need to be extremely careful not to leak any identifiable details.
Public commercial VPNs are only useful for overcoming geo restrictions and avoiding ISP throttling. Entrusting third party in different jurisdiction that “does not keep logs” to protect your privacy is oxymoron. But their aggressive marketing is pushing precisely this idea and it is working apparently.
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