A) This is a weird thing to tell the cops. "I wasn't using a VPN cause I wasn't doing anything illegal, I only use VPNs when I do illegal things!" Uh... you don't want to tell the cops you do illegal things and have opsec procedures for when you do illegal things! No wonder they were skeptical!
B) This story is literally the explanation of why "If I'm not breaking any laws, why would I worry about my privacy from the police?" is the wrong attitude. You don't have to have known you did something wrong/illegal, you don't even actually have to had done something wrong/illegal -- for the police to really inconvenience you. It could have been a lot worse than this. Even people who never knowingly/intentionally break laws have an interest in keeping their activities from police notice. As this story demonstrates. "If you have done nothing worng you have nothing to hide, why do you mind police surveillance" -- nope nope nope.