Late response but it may help someone else.
You are inserting another point in your network traffic…. there is always going to be some impact to bandwidth no matter what the service states.
Switch to another server that is closer to your location. If you are trying to get around region-based IP blocks try switching to another server &/or location in your client. The server you;re on could simply be overloaded. One with fewer users could be noticeably faster.
If you are torrenting kill IPv6. A lot of providers do not fully support IPv6 and leaking occurs. Check with your provider to find out if they fully support it and hit the those "what is my IP" pages to see if you have leaks. Some specificly target IPv6.