This is not about your expectations. This is about the expectations of a user who knows that VPN stands for "Virtual Private Network", and that the feature has the word "Protect" in the title.

FB creates the expectation of privacy by using those terms, and they (or you) don't get out from under that expectation by splitting hairs.

It surprises me how much people will defend obvious overreaching behavior from large corporations, for free, on the internet.