I'm a bit skeptical that I don't have full control of my keys, but it does seem convenient.
I've seen they offer to use Mullvad as an exit node for devices which is very cool. Sadly it seems like for this to work, you have to have them manage your Mullvad keys, which to me kind of defeats the purpose of Mullvad in some ways. But I can see how it makes sense to them from a business-perspective.