Jargon ahead...
Home Ethernet usually requires a network switch, and some RJ45 cabling. No VPNs are required.
The ISP modem is connected to the switch, and the computers are connected to the switch. This if the modem provides a firewall.
In networking jargon, Ethernet and Wi-Fi are so-called data links. Fairly low-level stuff, just above the actual physical hardware and wiring. All sorts of network protocols can operate over Ethernet and Wi-Fi data links, including TCP/IP networking, and a whole variety of other protocols.
VPNs operate over IP links, which means VPNs can operate over either Ethernet or Wi-Fi.
There’s potentially going to be some confusion in this thread around VPNs, too. VPNs—virtual private networks—provide a private and encrypted network connection. In many ways, they operate like any other IP network link. VPNs can be used to protect your remote traffic, and are increasingly used in business and organizational networks to protect even internal network traffic. These sorts of VPNs are invaluable for securing your network traffic.
There are also some folks that (try to) use VPNs to try to hide themselves or to bypass restrictions and access region- or country-specific streaming providers, or to try to protect insecure traffic passing through the coffee shop Wi-Fi. It’s disquieting watching these folks cause all their unencrypted data to be easily collected by advertisers and sketchy providers, too—this is what KiltedTim is referencing in that reply. These sorts of VPNs are bad news, as your traffic is connected and encrypted from the client to the VPN server but not beyond, and the traffic is then accessible to the VPN server provider. And the “secure” connections can be broken, as many of the VPN providers use known credentials.
