Why is it risky to go on the dark web without a VPN?
It is risky to go on the dark web as you open yourself to a number of strangers who might not be on the site for the same "noble" cause as you. There are many illegal activities carried out over the dark web, which has prompted intelligence agencies and other law enforcement to monitor the activities on the dark web.
If you do not use the VPN, they can easily track down your home address through your IP address. While you may think accessing the dark web is harmless, it might not be the case within the jurisdiction of the country you reside in. Many countries have banned TOR, and so the ISPs in those countries have blocked access to websites facilitating the use of the dark web.
There is a good reason for that, as the dark web is used for various illegal activities such as the buying and selling of weapons, drugs, and even child pornography.