Eh? If you don't know what the point is, why install it?
VPN's are usually used to aid illegal viewing, some share providers require a VPN connection to tunnel the softcam connection, and some use it to work around geo-blocking from stream providers.
There are legitimate uses: I have a box that I use when not home, which connects to my home via a VPN, so I can watch any channel remotely using fallback tuner configuration.