I guess, that depends on the legislative of your country, maybe they see all interactions with usenet providers as illegal, and if you are not using a VPN they see what IP you talk to. But in the other hand, in such countries, using (foreign) VPNs may also be illegal🤔
If your provider supports SSL and you actually turn it on then no technically don't need a VPN for Usenet.
I guess, that depends on the legislative of your country, maybe they see all interactions with usenet providers as illegal, and if you are not using a VPN they see what IP you talk to. But in the other hand, in such countries, using (foreign) VPNs may also be illegal🤔