What does it mean when it says at the top of a scam email that remote content was loaded through a VPN?

Without being able to see the actual email I can't say for sure, but it almost certainly means nothing you need to concern yourself with. Scammers try to panic you into doing something they want and they'll say all sorts of things to try and get you to believe that they've gotten something that either you want or would not want out in public.

It means exactly what it says.

Apple can now load the content of emails securely via their own VPN or a VPN you may configured in your settings. That means your details like IP address and location are not shared with the server the content is coming from and instead used the VPN provided information.

Is a security feature.

MarissaLa wrote:

So, it doesn't mean that they, the scammers have installed stuff on my Mac through uploading their content??

No.

Try and be polite as telling me that it means what it means, is not really polite or helpful.

Not trying to be rude or anything.