Unless you're using a true VPN tunnel, such as between you and your employer's, school's or bank's servers, they provide false security from a privacy standpoint. Read these two articles: Public VPN's are anything but private and Former Malware Distributor Kape Technologies Now Owns a Number of Public VPNs and a Collection of VPN “Review” Websites.
You can check to see if you've removed all of the supporting files by downloading and running the shareware app Find Any File to search for any files with the application's or the developer's name in the file name. For the V{M software you'd do the following search(es):
1 - Name contains vpn
Any files that are found can be dragged from the search results window to the Desktop or Trash bin in the Dock for deletion.
FAF can search areas that Spotlight can't like invisible folders, system folders and packages.
If you get warnings that the file can't be deleted because it is in use or used by another app boot into Safe Mode according to How to use safe mode on your Mac and delete from there.
Note: if you have a wireless keyboard with rechargeable batteries connect it with its charging cable before booting into Safe Mode. This makes it act as a wired keyboard as will assure a successful boot into Safe Mode.
Also you shouldn't install and run any "cleaning", "optimizing", "speed-up" or anti-virus apps on your Mac? If you have uninstall then according to the developer's instructions and use Find Any File to see if you got all of the supporting documents.
