Interesting VPN anomaly

Started using a VPN more regularly. Snow storm on the way so I wanted to check when its supposed to hit. Of course my VPN is in the Netherlands. When I loaded accuweather.com I immediately got a message that I videoed. I have never gotten anything like this before when surfing the web. What I found most interesting is the Number of sources accuweather shares your info with and the length of time the cookies stay on your system grabbing data. If anyone has additional info or I am miss understanding something please comment. Thanks