It can be, but this really depends on the VPN you choose. Many of them are actually very easy to set up, while others can be a little trickier. In general, users who opt for the Linux platform tend to be quite technical people and are used to dealing with compatibility issues and slightly more complex installations of software when compared to users of other operating systems, so you probably won’t have any trouble.
Often, the best VPNs for Linux, like ExpressVPN, are surprisingly easy to install on Linux, and you won’t have to worry about a thing. Many of them offer video guides, tutorials, and great customer support services that can help to make the process easier and guide you around any obstacles you encounter too.