VPN adds to the privacy options for your phone.
I take your phone everywhere with me. I use it in many places. I take advantage of the free WiFi that many places offer. That free WiFi is often open to every device to monitor, especially its provider.
VPN offers encryption of your communications from your phone to the VPN provider and beyond, thus blocking any monitoring of your communication on any form of Wifi, and indeed over data communication with your phone network. It means you’re less likely to be the victim of monitoring by, for example, information thieves, advertisers, or other disreputables.
To use VPN, you have to have VPN available on your phone. Both phones have it, but the 950 XL has an earlier version of the protocol. The iPhone offers the real thing, and thus is better.
If you decide to use a VPN, make sure you chose your supplier carefully. Ironically, a lot of supposédly free VPNs make their money by selling the information that you try and protect by using a VPN. I personally use PIA, and they seem ok, but I can’t assure you that they keep their guarantees of privacy, only that they make them.
I want to set up a VPN between the phone and my home systems, and I believe I can do so with the iPhone.
Apple wins this one.