Since nobody specifically answered your question yet on the how likely is it that any of what people are chiming in "could" happen:
If you live in the USA, are just sticking to personal use, and based on the overall body of supporting evidence as it stands today.....not very likely at all. At least in terms of that 'caught" ultimately meaning anything to you.
None of which is to say that the advice being given here isn't still good to follow mind you.
a VPN will not help. The problem stems when a seller or re-seller gets busted and turns over account information and more damming, turns over payment information. This is where you could have an issue. These payments records get in the hands of the lawyers of copyright owners and they use them to put pressure on you to pay up a settlement fee, $3500 seems to be going rate or face getting sued where if found liable you could face fines and penalties in the hundreds of thousands. These lawyers know that it would cost you more than $3500 just to hire a lawyer to defend yourself in court where you still run the risk of losing so most people just pay up since it is cheaper than going to court. Your other option is to just ignore them and hope that they won't sue you but that's a very big risk. This is why a VPN or other technical measures are irrelevant. They don't snoop your IP traffic, the ISP doesn't care most of the time anyway. The problem is "follow the money". This is why the best way to protect yourself is to use an untraceable payment method like bitcoin and use false account data so if the seller/re-seller gets busted and turn over their data, it still won't be traced back to you.