For downloading through Usenet a VPN is as important as for DDL, i.e. it's not necessary.

Depending on the local laws it's more important to use a VPN and pay anonymously for your indexers. But I don't know of any Usenet busts where customers got charged (e.g. for supporting a criminal organisation), so it's not necessary.

If you upload you must use a trustworthy VPN provider and you must pay through an anonymous payment method like Monero.