Look, if you want peace of mind use it, but it is also true that you will most likely be fine with it.
I personally use NordVPN, and I have been always torrenting with pretty good speed. I am pretty sure there are cheaper alternatives.
Good luck to You. :-)
Sadly, I think it is not possible. Game Pass games have Microsoft DRM, and completely break the compatibility with wine/proton.
No work around at the moment. :-\