I think it is pretty funny that his suggestion is that you should setup your own VPN. Your hosting provider knows your real identity and is going to shut you down very quickly if something happens and is far more likely to yield to legal pressure because they don't earn money from privacy. Meanwhile for a VPN provider it would at least make sense to invest into a legal team that at least throws empty threats into the recycling bin instead of "selling you out" as soon as there is even a hint that you are a problematic customer.