Valve only cares if you're setting your VPN to a different region to take advantage of differences in currency exchange rates. It used to be really popular to buy the version of a game released for random eastern European countries with poorer economies for a lot less than you'd spend in USD, until Valve started cracking down on that.
As long as any purchases you make from your account are done from the correct country for the content you're buying (and as long as the billing address on your credit card also matches the correct country), the VPN shouldn't set off any red flags or result in any bans.