If you live in a country with highly authoritarian rulers (say Iran, or Saudi Arabia), and use a VPN in a country with stronger privacy laws, it absolutely does. A Swiss VPN host won't automatically hand over their IP logs to the Saudi Arabian govt just because someone from the Committee for the Promotion of Virtue and Prevention of Vice knocks on their door.To think that you're protected by using a VPN is ridiculous. The VPN provider is obligated to keep records of their users and their REAL ip-addresses. And, if the authorities are at their doorstep and require information with a warrant, they really have nothing they can do. They don't have any confidentiality that supersedes local (and international) law.
If you're actually breaking national laws in the country where the VPN company operates, that's a different situation. As it is if you're using a VPN company domiciled in the same country as you are.