It’s not about doing this illegal, it’s about protecting my privacy wherever I am located.

Depends on the hardware… Copy machine is forbidden for example.

Appreciate the detailed answer.

You’re right, OpenWRT will not hide but let’s say protect my home computers from being monitored.

Also, VPN is a must and need to figure out the best way to handle that.

I don’t think they will forbid me to bring the Pi.

If you care about privacy, choose 1984. Located in Iceland and good service.

Edit: typo