Not all VPNs are created equal. Read the fine print. Many offer literally no true anonymity or file sharing concealment whatsoever, even if the authorities come knocking.
If anything using a VPN only puts you on some watchlist, like using TOR or similar. Just don't use the internet with an assumption of privacy or anonymity, because that does not exist.
The NSA data center in Draper uses 65 megawatts of power continuously. Where do you think that power is going? it's not going into thin air, storage is cheaper than the processing power/time for deletion, everything you do is being logged with the possibility of later examination.