Correct, it means that is not encrypted, but to the webserver, not to your computer.
When you use a VPN, your computer ( C) connects to the VPN server (V) which connects to the webservers (W) on your behalf.
What they warn you about is that the connection between V and W is not encrypted (unless you use HTTPS).
So the connection between C and V is always encrypted, but the connection between V and W is not always encrypted.
Edited by Didier Stevens, 27 January 2015 - 05:28 PM.
SANS ISC Senior Handler
Microsoft MVP 2011-2016 Consumer Security, Windows Insider MVP 2016-2019
If you send me messages, per Bleeping Computer's Forum policy, I will not engage in a conversation, but try to answer your question in the relevant forum post. If you don't want this, don't send me messages.
Stevens' law: "As an online security discussion grows longer, the probability of a reference to BadUSB approaches 1.0"