I always use a VPN not only when doing something in the "greyzone" you never know what the providers does with your data. I had a friend in a company who helped the publishers of games to protect their properties and believe me they didn`t care any law. they downloaded all ip lists direct from the providers, nobody checked what they did. So i would say always try to hide your identity. Nobody would go outside with a unique number on the back :-).... only if you arrested.