I never sail without one

Italian here. From experience i can say i never had any repercussions from not using a VPN. However i still reccomend that you use one just to be safe. Kind of a boring answer, i know

Always take precautions, there are no waters that are truly safe for a pirate.

Italy here. Never used one, its useless in Italy. Use one if you want, but not for being safe from the government and law enforcement, no need for that.

Non serve in Italia. Oddio, averla a qualcosa servirà pure, forse anonimità, ma da chi e perchè al momento non mi è chiaro. Io non ne ho mai usata una.

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I do not understand your question. If you surf the web you should use a vpn. No matter your location. Some locations ask for vpn usage more than others.