Question about Steam

Well, I would ask at the Steam forums but the answer is obvious. I want to know if any of you guys have bought Steam keys that require a VPN to activate them and what are the possible consequences. If anyone is curious, I have a perfectly legit Steam account and the only game I have bough off of here is Portal 2. Everything else was purchased directly from Steam and I wondering about buying a MW3 RU key. What are the risks? How many of you have done it?