Used to be called Hamachi decade+ ago and used among other free VPNs for playing dangerous waters games in multiplayer.
Some games still do support direct IP connection to a server but it's getting more rare as developers prefer to have their own single point of attack called master server without which their whole game dies instantly. The master server is used for discovering servers run by anyone or in some cases by the developer only.
An old school LAN doesn't need to be LAN if one has public IP server.
Who is this feature for with Steam...??? Beside the split screen gaming streaming mode? What Steam games actually benefit from having a VPN = one lacks public IP to run their server?
What this does is it Streams your game (only shared screen multiplayer games) to your friend so they can play with you. For them it's like they are playing on Stadia or something, they are basically streaming the game from your PC. They just show up as a second local controller being connected. I've tried this with two friends in two games so far and it's worked great. Really cool feature to have.