But aren't you doing the same thing with VPN since everything is routed through a server wherever that might be located? I also tried VPN (just a free version for testing it out) and found that if I tried to access my bank account for example, it wouldn't let me. Shut off VPN and it was fine. Also found it annoying that I would get those "are you a person" quizzes much more often when I had VPN turned on. Maybe it's because I was trying out the free version, not sure, but it was a pain. In addition, it often seemed slower but my guess is that was due to the free account and saturation of the server which mostly showed 90%+ usage.
To an extent. I liked it too this: out in public, you wear clothes because you don't want everyone to see you nekkid. This is WITH a VPN. Without a VPN, you are the emperor in the story book tail The Emperor's Clothes. A threat actor sees everything.
As for your free VPN, it will depend on the endpoint of the VPN. It might have been in a different country, or is a known avenue for threat actors, based on the endpoint's IP address or address range.
I can setup a WireGuard VPN server in a cloud space in the US and have no problems accessing my bank and other financially sensitive institutions.
If I use a commercial VPN service, I do get more blocks.
As to the Captchas that you see more of, is because of the IP address of the endpoint.
Internet public IP address are "leased" from the ICANN, so, for instance, mygrandrv.com IP address is 172.67.216.158. If it was a VPN, all traffic coming through would be from that IP address. Let's say mygrandrv.com is a VPN provider, they might have a range of public IP adresses, let's say 172.67.216.*. The * indicates 1-254. So there are 254 IP addresses that they lease. And the endpoint could be any of them.
It then becomes easy for websites to then block traffic from that IP address range, or enforce a stronger level of authentication on requests coming from the IP range.
So, something like Xfinity, will have a range of 107.*.*.* (among others). So hundreds of thousands of IP addresses. Plus, because they are registered with ICANN, websites have a higher degree of certainty that the traffic coming from one of the IP addresses are an individual, not a VPN.
Hope this makes sense, at a high level.