A firewall is configured as part of this setup. unnattended-upgrades is also enabled, so security updates are automatically installed (which of course might be a security problem itself). If you are really paranoid, you can destroy and recreate the box every so often, as the whole process takes about 10 minutes.

And in some ways it reduces the chance of a security problem because VPN's with alot of users is a bigger target than one with just you.