I mean I don't know where you live... Could be a bad idea... Could be alright... Depends on your specific threat model. In theory, such data is supposed to be transport-encrypted. That means your internet provider can see there's data packets exchanged between you, and an address range that belongs to Qobuz. But they shouldn't be able to look inside of the stream.
If you decide to dig down: I think the technical term is "split tunneling". It's supported in some VPN clients.
(And I'd say, maybe complain to Qobuz, just for good measure. If enough people do it, maybe that's some motivation for them to improve their service.)