I love it when I read a comment like this. yes there are regulations forbidding a US citizen to participate in certain ICO's. but when there's a VPN involved, yeah whatever )
I would advise against using location / IP hiding software to enter an ICO if your country has laws against that
As long as you don't convert your crypto to fiat, you might be fine with vpn, but as soon as you decide you get them out to the real world, then you might be in troubles...
Every ICO is looking safety from legal issues. nothing wrong with that. Legal issues could take side track to whole project.