I'm asking "I" in the sense that I'd personally like an answer to this question, but really this is more about using VPNs in general.

Currently, I just use the server with the lowest latency because that gives me the least friction.

However, thinking about the GDPR in the EU, or California's data privacy protections: should I be strategically choosing a server based on those? Is there any benefit to having my traffic routed through a jurisdiction like that, or does that not really matter?

EDIT: To further clarify: will all the different websites out there log less data or treat my data differently if they believe my traffic is coming from the EU/California?

I'm curious as I'd be possibly interested in a solution that works for me. I'd be looking at devices (mainly a robot vacuum cleaner) that are able to operate without a mandatory internet connection that send over data to a datacenter to collect your information without your explicit knowledge (nearly everyone just clicks 'accept' when reading the ToS after purchase).