Well the E-Mail server still runs locally. While they could intercept traffic on their VPN endpoint, the traffic should be encrypted (TLS). However, I am not to sure if all e-mail servers speak TLS to each other.
A lot of mail servers don't support this though, so it would be on the client to also be able to ensure it will not relay mail except to TLS endpoints verified by a well known CA.
In my experience this is rarely the case, but if it is and Helm is willing to tell end users "sorry I can't safely send mail to this endpoint" then I could see some value to this approach.