Agreed.
Yahoo mail will notify you via email if you use the vpn to connect to your email account, as will gmail, Hotmail, and so on.
What they all are doing is letting you know a "new" system is connecting to your email account from a different part of the country or world than normal or what is expected.
Under normal circumstances such a notice would be helpful in letting you know your account may have been hacked, but we know better than that, don't we?