Hello to all, just put together a Raspberry Pi 4, works great, the main purpose (to start) is a Pi Hole (yes I know it is overkill for a Pi Hole) probably will use it somewhere else in the near future and get a budget Pi for the Pi Hole.

On to the question. I am thinking of adding a VPN to my Network in addition to the Pi Hole. Is there a preferred sequence to make the transition smoother?

Get the Pi Hole up and running then add the VPN? The other way around?

My overall goals are just enhancing privacy and enhancing security while reducing ads/malware/phishing/spam etc

Running all this on Windows 10 if it matters with only Win 10 built it antiviral, really don't do any sketchy stuff as far as questionable websites, downloads, etc

Any input would be greatly appreciated.

Just to clarify, are you wanting to run a VPN program on the Pi, or on a separate machine?

I was planning on using the PI as an ad block type filter, I believe the term is a DNS sinkhole (not a tech type)

I was going to use a program for the VPN, like Nord or Expressvpn.  I just assumed the program installed on the Win 10PC not the PI.

As mentioned, not a tech type trying to figure out all the ins and outs.

That is what I do. I set up the Pi-hole first, and actually had the vpn on a separate Pi-hole, until I needed one for another project, so at that point added OpenVPN to the Pi-hole machine. Works fine.

I'm doing something similar to what you described. I have a Pi-hole DNS server running on my home network. My router points all traffic to it.

I run Private Internet access VPN on my local Windows 10 machine. The setup works just fine. Blocks all the ads on my home network, and the VPN runs 24/7 on my home computer.

You could set up OpenVPN to run on the Pi, but this is a much more involved project than installing Pihole, which is very straight forward with just a couple of commands.

Installing OpenVPN on a Pi is trivial

https://www.pivpn.io/

Can a Pi running VPN on all traffic keep up, especially with high bandwidth internet connection?

Depends on what you mean by high bandwidth.
If you have a 1Gb connection, no. The ethernet interface won't keep up.

I have a 120 Mbps download connection, but hopefully going to Gigabit soon. However, my Pihole runs on a Ubuntu VM running on a Xeon, do power isn't a problem.

But I'm not running OpenVPN either.