That's okay. I'm sure the minor inconvenience of not seeing the data flow directly to your local IP is more than made up for by the data collection at both sides of that VPN...
To be serious, I wonder if they apply extra scrutiny to VPN providers, and use traffic analysis to build correlations between TCP connections. The extra effort might be justified by a higher class of data going across the connections.
Then again, it's probably easier to just use some form of evercookie injected into TCP streams on the fly...