You need to be sure that the VPN is setup for High Anonymity
I have not too much experience with VPN but I know it is setup slightly similar to Proxy as regards User agent strings, Hostnames etc,
So if it where a Proxy and not a VPN, it could give you away by any one of these -
Passing Both IPS - this means someone can see BOTH the proxy IP and Your IP
Announcing itself - basically in the User Agent String passed in the HTTP Headers it will announce itself as being a proxy
Reverse IP or Hostname Lookup - Sometimes a misconfiguration on the Server will lead to a Reverse Lookup failure, or give some or other kind of dodgy reply that raises flags
As far as I am aware, although they are two different things, a VPN could be setup in such a way that at least the last 2 of those problems I mentioned could be an issue.
What I would do if I where you is check yourself, use one of the more in-depth "whatismyip" sites that tells you IP, Hostname, Useragent and more, and see if anything looks dodgy.