Privacy warning

It appears that there are at least two different (but potentially related) issues here:

1. Using a VPN.
2. Wi-Fi security settings

Let's start with the second one. There are two potential reasons for this. Regardless, as lobsterghost1 has eluded to, this would relate to the Wi-Fi settings on the wireless router that your mother is connecting her iPhone to.

1. The wireless router is not configured for either WPA2-AES or WPA3 security. This would require administrator access to the router to change this setting.
2. The other reason would be that, since iOS 14, the iPhone will default to use "Private Wi-Fi Addressing." If this option is disabled, you will see this "warning." The article I provided a link to, explains what this is all about.

For the first item, the issue most likely is due to attempting to access a protected video from another country. Some streaming services will note if you try connecting to them via a VPN, and if so, not allow the stream.

When you get a warning such as you mention, it usually means the router the phone is connected to needs to be updated to a more modern security setting. See this link for help --> Recommended settings for Wi-Fi routers and access points - Apple Support

Yes, that should be fine.