There is pretty much no risk. It’s expected you will use a VPN, you can talk about it openly in public.

Now, if you’re doing something unrelated that the administration doesn’t like, you can expect VPN use to be included in the long list of charges.

You phone and computer will be checked thoroughly using automated tools. If they didn't find any sensitive keyword, you'll be fined and recorded in the system. If they find something, a detention for at least 3 days or ... forever.

That's the standard procedure. But polices in developed areas usually treat them like antragsdelikte(no trial without a complaint).