https://www.bleepingcomputer.com/news/security/downloading-3rd-party-openvpn-configs-may-be-dangerous-here-s-why/

Call my a cynic, but one thing I have learned from the using the Internet is to double-check, if not triple-check, everything you download. So many downloads have malware, adware, and scripts that perform malicious activities on your computer that it has to be a requirement to thoroughly check a download before it's used.

This point is shown in research posted by Tenable reverse engineer Jacob Baines, where he shows how a normally harmless VPN configuration file can be used to open a backdoor on a computer that uses it.