Network security specialist Michael Horowitz has published a large study of how VPN services work on iOS. It turned out that due to a long-standing system error, absolutely any VPN does not guarantee you complete anonymity - not all traffic is encrypted.
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The problem lies in establishing a VPN connection: to be anonymous, all current network connections must be interrupted and reactivated through a network tunnel, but this does not happen.
The vulnerability was first discovered by ProtonVPN in March 2020. The bug exists on iOS version 13.3.1 and newer.
Some VPN services offer to disconnect all connections and reconfigure them when connected, but this is not the most common feature.
Of course, a VPN allows you to access services that are blocked on the territory of the Russian Federation, but if anonymity is important to you, then you should choose the client where all network connections are manually or automatically interrupted.
Mr. Horowitz suggests another option - two routers: one without a VPN for everyday use, and one with a VPN client installed if online anonymity is important.