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Can a VPN be any beneficial when it comes to Malware prevention?

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The other day I saw a VPN advertising that they remove Malware on "Server Level" which did not make much sense to me. I am just curious if anyone of you can explain it to me because I if there's any truth in this statement, I will be considering to buy it. 

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A VPN, just like an alternate DNS provider, has the ability to filter/block/redirect websites on their end meaning they can potentially blacklist known malicious websites (similar to the way that Malwarebytes Premium does with its Web Protection component, except that works using locally stored databases and provides more transparency since you can always see what has been blocked and also control it/override it if you wish, in case a blocked site turns out to be safe/a false positive).

The downside to using a VPN or DNS provider which performs any sort of content filtering like this is the lack of transparency.  You have no way of knowing whether the sites being blocked are actually malicious or simply advertising products and alternate VPNs that they have chosen to blacklist for their own interests.  Such behavior isn't too likely, but it is absolutely possible (basically, filtering like this works just like a browser redirector would, so that you have no control over what gets blocked, redirected, or allowed through).

It's great if whoever is maintaining their blocklists knows what they are doing and gets their blacklists from reputable sources, but it can be bad if they're just leveraging some open source/free list from a third party as such lists may or may not be well maintained and curated (i.e. adding new bad sites to block frequently, fixing false positives quickly (assuming you can even report a false positive to them at all), and re-check each site in their block list frequently to determine if any of the blocks should be removed based on the site either being cleaned up or being taken down by the hosting provider).

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