Why would someone have to lie? They can just say "We can't comment on that" without providing an answer. And then customers can go "sounds pretty suspicious, time to switch VPN services".
The point of the canary, is to turn any non-answer into a practical, or at least a tentative, "yes". If you no longer see an explicit "no", it means "yes".
The difference between a canary and a "no comment" is that "no comment" is an extremely common thing to say whether an allegation is true or not so it's not very suspicious, while stopping a canary is very suspicious.
So it's like the scenario you outlined earlier, but more effective.
No, it isn't. It's pretending that "no comment" means something it doesn't. Just because you want it to mean "yes" doesn't mean it means that. It means "we are not going to comment on this, because we have a sane legal department and we're not going to give you any information one way or another".
If you think "no comment" means either yes or no, you're pretending to know something you don't, and you should absolutely stop and go "wait, why am I lying to myself? And why am I believing my own lie?"
The parent comment implies that in such a case “no comment” is not compliant with the law, as it informs the inquirer.
Hence the only way to comply is to answer “no”, which is a lie.