I agree its a misnomer, however appropriate to technically describe whats happening in one word.
Its a computing model people recognize .. https://en.wikipedia.org/wiki/Serverless_computing
Its a computing model people recognize .. https://en.wikipedia.org/wiki/Serverless_computing
To me, "serverless" means "you'd normally be setting up a server yourself in some way (whether low-level and manually, or via a standardized VM or container image orchestration solution), but here you don't have to".
As a VPN user (of this type of VPN in any case; corporate VPNs are a different beast), I've never had to set up a server myself – I'm paying to use somebody else's server!
In other words, we also don't call Gmail "serverless".
Nobody calls Netflix a "serverless VOD platform" either, or Verizon a "serverless wireless carrier".