What things will a VPN do to me, if I'm just playing games?

I'm trying to play this game from Japan, but I need a VPN to do it.
I'm using VPNGate to grab myself an IP address from IP. It's free to use.
I know that VPNs can pose risks and dangers, but what exactly can they do?

This is the policy of VPNGate: VPN Gate Anti-Abuse Policy

This is what they say they will log:

A VPN Connection Log entry contains:
Date and time
ID, IP address and hostname of destination VPN Server
Type of action (connect or disconnect)
Raw IP address and hostname of the source VPN client computer
Type of VPN protocols (SSL-VPN, L2TP, OpenVPN or SSTP)
VPN Client software-name, version and id (If available)
Number of packets and bytes during a VPN connection, and debug information of communication errors
No other information will be transmitted to us nor be recorded on our logging server.

So, if I set the VPN as a "public network" in the Network and Sharing Center, and all I'm doing is playing games while I have Skype and a few Google Chrome tabs of non-personal information open, what risks will there be?

I believe you shouldn't be worrying as long as you don't perform any confidential business through them.