Using a VPN goes against Amazon's terms of service, so it's worth reading the small print to make sure you're happy with the risk. However, if it lets you watch what you want, you can safely say that you haven't been detected. In terms of criminality, you're not breaking any laws by changing your location with an amazon prime vpn. The restrictions are enforced by Amazon to protect itself – it can't distribute content that's licensed to other providers in different countries. However, there are no rules being broken on your end.