That kind of depends on what you want to do with your VPN. A self-hosted VPN is perfectly valid when it comes to circumvent the ISP-restrictions just one country. Example: You want to evade the censorship of lets say Turkey, and use a french VPS-hoster to host a self-configured VPN. I don't see anything wrong with it. You are not very likeley to have problems with authorities in Turkey (they don't see what is going on on the wire) or France (they know you by name, but as long you dont do anything illigal with your VPN...).