It is the task of your antivirus to pop-up and warn you. Those programs you mentioned deal with drivers and installation of virtual TAP adapters in order to work properly so when this action happened (registry are modified), the antivirus pops-up and tells you that the registry are modified. It should't be a threat since they are well-known programs. On the other hand, I would recommend using Hotspot Shield because it's simple to use, it's free and works like feature-rich software in this mode and it protects you by protecting your identity over the web.
When you install the software, temporary disable your antivirus for the application to install all its necessary files. A step of the installation may require you click accept because a non-signed driver (Tap Adapter) is going to be installed.