I did some research since Binance had a license rejection recently; it seems that Coinbase is the only one right now that offers crypto trading futures in the US and Canada. They are legal on these two countries.
It's better not to use a VPN; stick with the legal exchanges like Coinbase for now to avoid issues in the future.
Coinbase is the USA-based exchange and they are also most favorite custodians of many Bitcoin Spot ETFs in the USA, so it is reasonable that Coinbase accept users from the USA and perhaps Canada. Because the USA and Canada are neighbor nations with many friendly cross-border regulations.
Your warning on risk of using VPN on Coinbase is really right and important. Coinbase themselves have to obey to strict regulations in the USA and they certainly don't want to have any legal problems by easily let their users cheating and using VPN for bypassing geolocation restrictions. The USA government, DOJ will not easily accept any accuse from Coinbase if the exchange does not comply with AML and KYC.