Every free VPN company is going to track and sell your data. That’s how they make a return on giving you a free product. If you’re wanting to pirate things without worry, just avoid torrents and you’ll be fine. HTTP (direct downloads through your browser from site like archive.org) can’t be tracked by copyright holders. They’re perfectly safe to download from. If you’re just looking for some sort of privacy while browsing websites I recommend checking out TOR browser. It offers all of the regular safety precautions anyone would need while simply browsing the internet (aside from common sense).
I remember phpBB having a popular emoticon addon, or maybe arcade addon, that ended up compromising a few of the message boards I frequented in the early 00s. Times never change.