I don't think it defeats the purpose. It's not meant to make you anonymous, it's meant to shield your actual computer from exploits. It can do that just fine running on a VPS you rent.
I am slightly concerned that it's being advertised as security software, but the commit log looks incredibly... unpolished and uncared for, to say the least.
I now feel stupid. I should've realized that, I've definitely studied enough.
Thanks for taking the time to explain it to my slow self.