While using a VPN at all is technically against the rules, in practice Valve hasn't taken any action against those who use one to just activate a region-locked key or unlock a game early -- it's using one to aid in cross-region purchasing that may very well land you in hot water, as in doing so you're playing silly buggers with Valve's 30% cut (it doesn't see a cent from retail key activations, and obviously unlocking a game early harms nobody). You'll find no shortage of people here who've used a VPN for the former two reasons, myself included, and in fact VPNs are even necessary for game collectors as some region-specific games are exclusive to retail and tied to an activation-restricted sub (a fact I most recently encountered with the
Korean version of Football Manager 2012). Also, Valve stopped outright banning accounts almost three years ago now in favour of a restriction-based system, so even if you broke even rule in the book, at worst you'd be prevented from using Steam Community features and
adding to your library -- you would not lose access to your pre-existing library. Instead of this:
You'd see something like this: