As long as I don't see a credible reference to an actual study, I don't think I'm going to give in to such claims. Subscribing to a VPN was THE best thing that could have happened to me, specially after surviving some really nasty hack attacks. Now, I can do whatever I want online safely and anonymously, and without any fear.
The risks highlighted by Perfect Privacy could be limited to some specific brands of VPN and could be, in all probability, linked to certain features offered by the VPN. I've personally tried almost every free VPN out there and didn't feel safe. Now I'm using a Singapore-based Ivacy VPN which gives the same range of features as industry leaders but at a highly competitive price of $36 (1-year). Oh, it was love at first byte! :)