Yeah, I'm completely aware of that but Sam & Jesse use the same thing and they don't really lag while using it.
Also depends on your internet speeds/package. Many factors weigh in, just because it works well for one doesn't mean it will apply to another.
Well yeah I know, I've seen it happen when I played with Sam where his bars just drop. He told me it's pretty much "hit or miss". Maybe it could even be the VPN server, who knows?