Well, I am sure they can spy on you when the VPN program is active. But as far as them trying to inject any adware or malware, good luck in getting by Malwarebytes.
I locked in an amazing price for PIA and don't want to give that up, plus I don't use the VPN as much as I thought I would.
I never bother with using VPN for streaming, enough stuff can be found and downloaded available to the US, I don't bother with locations outside of the US.
I have VPNs more for torrenting, but the need for VPN is slowly being phased out for torrents, as there are other ways now.
Stan001
Malwarebytes is decent, but it's not infallible. When you install your VPN client, does the installer require privilege escalation? I'm going to guess "yes" since most installers request it, and anything that installs into "Program Files" or "Program Files (x86)" (or needs to put files in a number of other directories) requires it. Once your installer has that authority, it can install many things that Malwarebytes (and other AV programs) will give a pass - and it can install them in such a way that they can continue to act with admin (or possibly higher) authority without requesting privilege escalation from you (or any user/admin) in the future. Once you click "Yes" (or provide the necessary credentials) when asked if you want to allow a program to make changes to your machine, you are potentially opening a can of worms that no AV program is going to be able to stop...or possibly even take notice of. In fact, Windows itself provides a way of gaining privilege escalation (under admin accounts) without alerting the user, and it also provides a way to escalate to system level access with only admin privileges. With that ability, a downloader can be installed that could later download and install programs, modules, etc. in the background and set them up to do all sorts of things, including disabling Malwarebytes while leaving the system notification icon (or a decoy) in place. This is one of many tactics used to get around commercial multi-level security. Never assume that *any* AV, or other security program, is going to protect you from yourself. The user is the first layer of protection - once you're past that, it gets much easier.
I think 0xFeedBeef's comments are spot on - I wouldn't trust any software Kape provides. But that's just me talkin' - it's really up to you.
Quick EDIT: I realize you didn't say you would trust their software - but you did say you would trust Malwarebytes to protect you from something similar to what they might try to deploy. My last sentence was not so much a comment directed *at* you, but a disclaimer (and a song reference - 10 internets to whoever can name the song) so Kape can't claim I'm telling people not to use their software - I'm only saying *I* wouldn't use it...or trust it...or recommend it.