I'm not concerned about it personally, but you are putting a lot of trust in them as a 3rd party service provider. It's up to your specific risk profile if that's acceptable risk or not.
The alternative would probably be self hosting a vpn yourself with dyndns to handle ip address resolution. I'm biased (I have a professional networking background) but I don't think it's that much harder to setup either. But then I'm also a hypocrite and don't self host anything anymore.
There's also a valid argument to be made that doing it yourself is riskier because novices make mistakes. I don't think this is too big of a concern personally - it's not like you're rolling your own cryptography.