you have a fundamental misunderstanding of what’s happening here. The reason you’re getting this is because that IP has been flagged as high risk for bots or scammers since many bots or scammers use a VPN to hide their actual ip. however insta doesn’t want to completely block access via that vpn server hence the warnings and often extra captchas. your vpn is also not preventing your data from being harvested completely.
a vpn will mask your IP address so location services based on that IP will be wrong and instead think you’re where the server is and some cross site tracking is made more difficult, some vpns have dns settings to block requests to servers known to be involved in data collection/tracking but data you willingly provide (account info) or usage data is still very useful to sell to advertisers or use for targeted ads
there’s also other tracking concerns with cross site cookies. you can turn off personalized ads on a lot of platforms which i recommend, as well as limiting how much info you willingly give up to sites you use, and other obfuscation methods that are more useful using certain browser extensions and setting up strict security settings in your browser. speaking of which don’t use the app if you’re concerned about privacy like that access it in a browser on a laptop or pc
My VPN isn’t my only precaution, but it’s certainly helping a lot. Also, they don’t give a shit about anything unless it directly effects their bottom line. If a bunch of people are using the same server, then it’s harder for Facebook to serve targeted ads to those people, so of course they’re gonna hate it.