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 articles: Pubic VPN's are anything but private and Security Risks: The Dangers of Using Free VPNs (eccu.edu).
Additionally a new study ("Apple Offers Apps With Ties to Chinese Military”) is specifically about VPN apps in Apple’s App Store.
I recommend uninstalling the VPN according to the developer's instructions. Then you can check to see if you've removed all of the supporting files by downloading and running the shareware app to search for any files with the application's or the developer's name in the file name. For the XXXX files you'd do the following search(es):
1 - Name contains openvpn
2 - 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, run Find Any File again 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.
