A VPN doesn't make it any more legal. I agree though, there is nothing to fear really from doing it as things stand, but you can't say it is legal to do it.
I don't think that would be a crime in the UK, if you were watching the broadcast of your UK supplier, might be criminal in the area you are in, because someone else holds the rights there though.
On the legalities, I think you are on a slightly more difficult footing if you have purchased a device than if you just navigate to a web page. Not that anyone seems to ever get prosecuted for doing either. I think on copyright law it isn't illegal to watch, unless you make a recording, it's a...