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is it okay not to use the VPN during the catchem?

I don't know enough about it to advise you. I don't bother with VPN, as I can't see the difference it makes when Niantic bans based on actions and locations things happen.

for example, say I'm at co-ordinate 49.0321, -122.443 and I snipe something from -2.99912, 1.4232 Niantic can already "see" something's up.

Another way to put it, my co-ordinates may be from New York, but my VPN is an IP address in Montreal>>>and I'm catching pokemon in Norway...seems like a longer list of possible red flags to me.
Perhaps other users with more experience can offer suggestions on the VPN.