Could someone tell me what is VPN

Virtual Private Network

Some info about VPN available here: https://en.wikipedia.org/wiki/Virtual_private_network

It's used to protect you from being seen as your original iPhone, Mac, or iPad on others' networks. It uses a "cover-up".

Think of it this way. When you connect normally to a Wi-Fi network, you are seen as "naked". This means people are able to find out your location, family, home, credit cards, bank accounts, etcetera easier. What the VPN does is it gives you a pair of clothes, winter jacket, and snow pants to protect you from being easily accessible by anyone. Certain Wi-Fi networks do not allow VPNs such as schools and workplaces, because they are not able to keep full control of what sites you visit, who you are, etc.