This is one question I see being asked a lot when I scour through the deep dark parts of Reddit... Well, it is just the Shadow PC Reddit, but I was just trying to make it sound cool!
Anyways, back on the topic! A Virtual Private Network, or VPN, is one of the many popular security/privacy solutions many use when surfing the world wide web. It allows you to mask the IP address that you use when accessing certain websites.
So, it is only natural that many would want to know if it is possible to use it with Shadow.
The short answer is... kinda. The long answer is...
What the VPN does to your Shadow
When you install a VPN on your Shadow, you run the risk of losing connection to your Shadow.
Most VPN's install its own Network Device to "mask" the connection coming from your PC. For Shadow, this new Network Connection will disconnect you from your session, making you unable to reconnect.
If the VPN has been set to start on Window's Startup, there is a high possibility that you will not be able to connect to your Shadow again, forcing you to reset your Shadow to factory settings.
If you install a VPN that does not set up an extra Network Device, then you should be able to stay connected, but performance may suffer.
Using a VPN on your local PC
Since installing a VPN on your Shadow is not advised, you may be inclined to install one on your local PC, and enable it when connecting to your Shadow.
Unfortunately, this is also a bad idea. Most Virtual Private Networks add a decent amount of latency and lag to your connection. For typical gaming, you may not notice too much of a difference, but when you are using a heavily network-based program, like Cloud Gaming streamers, you will notice the lag, packet loss, and extra latency it will add.
Unless you find a really good VPN that does not cause a significant increase in anything that will affect your experience, I highly suggest avoiding the use of VPN's when using Shadow.
I know this is not ideal for those who are extra cautious online and like the privacy they get from a VPN. I am one of those, so it does suck that I am unable to successfully use a VPN when using Shadow. However, Shadow has end-to-end encryption on its clients allowing for secure sending of information when using your Shadow.
And, honestly, you shouldn't need a VPN on your Shadow, as you shouldn't be doing anything that should necessarily require the use of a VPN on your Shadow. Remember, any illegal activity could cause termination to your Shadow account, resulting in a loss of data.