It is incredibly irresponsible for them to publish this without explaining the risks.

"Shotgun KYC" is the term where a user's account is frozen until they provide identification/KYC. So while you might be able to use a VPN to get around an exchange's IP block / geofence, you could still be violating the exchange's terms of service. If they block your account, and you violated the terms of service, it's entirely possible (if not likely) your funds will be seized, and not available for a long time (if ever).

Play stupid games, win stupid prizes!!