Tax evasion is distinct from theft of services. Theft of services is intentionally depriving a seller of services of compensation for the services it is providing. Tax evasion is depriving a third-party tax collecting of the taxes to which it should be entitled.
For example, in the simple case where I sell you software delivered online from my location in Connecticut to a customer in Alaska, both of which impose a sales tax on this transaction, and both the seller and buyer willfully fail to collect or pay the sales taxes due on that transaction despite knowing that it is subject to sales taxes, this is criminal tax evasion, but is not a theft of services, since the seller was paid, even though the tax collector was not.
In the case of physical goods, the place of delivery can provide a basis for imposing taxes on their sale, but if you take delivery in one jurisdiction and then move the goods to a different location, what was original a retail sale tax or value added tax (VAT) issue, become a customs tariff or duty and use tax issue at the time that the goods are moved from the place where they are delivered to the place where they are used. "Duty free" goods shops are specifically designed to combine an exemption from sales and VAT taxes at the place of delivery with an exemption from customs duties in the place where the goods are transported under a de minimus exception from customs duties.
Sales taxes and VAT are usually collected from the seller. Customs duties are usually collected from the person transporting the goods across international boundaries. Use taxes are usually collected from the buyer. From the tax collector's perspective, collecting taxes from the seller is the most reliable approach, and collecting taxes when goods physically cross a national border is almost as good. But, collecting taxes from an undisclosed buyer is much harder and relies on the honest of the buyer and on tips that the tax collector receives about use tax evaions.
The question is concerned, however, about intangible goods.
A VPN (Virtual Private Network), which is a tool that encrypts your internet traffic and masks your IP address to create a secure connection to the Internet that may have an apparent place of origin different from the physical location of the Internet user (something that can't be faked when physical goods are delivered to an actual place).
The theory behind why a VPN should work is that the Internet user is "taking delivery" of the intangible goods in the country designed by the VPN, and then transferring the intangible goods from that country to the place where the Internet user is located. And, since intangible goods are not normally subject to customs duties when they are transferred across a border (e.g. when they are saved on a physical hard drive that is physically transferred across a border), the second stage of the transaction is not taxed.
As a practical matter, a VPN allows the seller of intangible goods to collect no taxes or less taxes out of good faith ignorance of the tax evasion (or licensing fee evasion in the case of intangible goods licensed with different royalty rates in different jurisdictions), and there is no practical means of enforcing any kind of customs duty when intangible goods are transported via the Internet from the VPN's nominal country location to the country of the end user of the intangible goods. So, when a VPN is used to obtain intangible goods, the tax collector must rely on a use tax model and collecting taxes from the end user in the absence of reporting. But, empirically, it is well known that tax reporting by people who owe taxes is much less reliable than tax reporting when a third-party reports the taxable transaction to taxing authorities.
(Fun fact: In the U.S., information reporting and tax withholding for tax purposes was primarily a result of the efforts of famous free market economist Milton Friedman during World War II when he was working for the U.S. Treasury Department that is the parent agency of the IRS.)
But, there are multiple ways that this theory can break down and subject the intangible goods to taxation in the jurisdiction where the Internet user is located. The destination taxing jurisdiction could call this "substance over form" or an illegal attempt to conceal the true destination of the intangible goods to evade taxes. The destination taxing jurisdiction could structure their tax as a use tax, imposed on utilizing intangible goods in their jurisdiction. Or, the destination taxing jurisdiction could simply pass a law banning the use of VPNs for the purpose of evading their taxes on the sales of intangible goods to their residents or evading legal licensing royalty differences between jurisdictions.
As Paul Johnson notes in his answer, the E.U. has specifically done the opposite and legalized the use of VPNs for this purpose when the seller ands buyer of intangible goods are both located in the E.U. consistent with the vision of the E.U. as a single market place with no internal customs duties or tariffs on goods moved from one E.U. jurisdiction to another.
Likewise, in the U.S., the "dormant commerce clause" and restrictions imposed by the U.S. Constitution under Article I of the U.S. Constitution on customs duties between U.S. states (they aren't entirely banned) places some limits on what states can do to prevent the use of VPNs to evade sales taxes without Congressional authorization. But this is an emerging issue in the U.S., because, no U.S. state has a comprehensive VAT and until quite recently, retail sales taxes did not apply to sales of intangible goods.
So, in the U.S., and many other global taxing jurisdictions, the legality of using a VPN to evade taxes is at the statutory and tax regulation level, a function of how sophisticated that jurisdiction is about technologies like VPNs and the structure of their tax system. At the case law level, applying general principles like the substance over form rule of tax law (one part of which is known as the step-transaction doctrine), which is a product of both the sophistication and the policy inclinations of the tribunals that adjudicate tax law disputes.
In the U.S., for example, there is great variation in the taxation of Internet sales of intangible goods generally, from one state or local taxing jurisdiction to another, and further variation in how the use of VPN to evade these taxes where they are imposed is taxed. The international situation is similar.
