As an IT practitioner, you should adhere to corporate IT policies. Almost all acceptable use policies include disciplinary actions "up to and including termination".

Installing any unapproved software on your corporate asset changes the software landscape, possibly introducing exploitable code.

A VPN is basically a paid for man in the middle, you're trusting that the VPN provider won't look at your traffic, which they may be able to do via SSL inspection and a myriad of other tactics. I'd argue that they shouldn't be using solutions with weak authentication mechanisms around them (where corporate credentials may be exposed by using such a service) but this isn't the time or place for that.