it's not P2P so the chance of getting a nastygram to your ISP is basically 0. why would he bother?

Plex/Sonarr etc don't handle the actual downloading part, so they don't need to be behind a VPN. They simply look up the show metadata from public databases and find downloads available from indexes you have registered, passing on the download that best fits your criteria to whatever download client you have configured (so the download client is the only part that needs to be behind a VPN).

No need, you can sign up for any of the hundreds of private torrent sites and the RIAA isn't legally able to join and send anything to your ISP, and without literally the RIAA sending the letters to your ISP, your ISP doesn't care.

Or like most they just doesn't care about that?

No VPN. The only traffic from the internet to my home is over SSL to the newsgroups servers.