They don't allow the use of a VPN because the torrent file you download is tied to your IP so you cannot share the torrent file itself with other people that are not a member of PD.
Your ISP generally should not care about what you download (within reason), the issue is usually when you download movies and TV shows and the copyright holders of those track you using bittorrent and send a letter to your ISP who in turn send you a letter telling you to stop it. This is not a problem with roms for the most part. Of course your ISP may care that you are using torrents and "hogging up" all their bandwidth, these are shitty ISPs.
If you are concerned and want to hide what you are doing from your ISP then you should look into a SeedBox. What happens then is you get the torrent file itself from PD and you upload that to the seedbox and then you download your files from the seedbox using an FTP program such as WinSCP. This traffic is not torrent traffic and your ISP won't notice it or care, it is just seen as normal file transfer. A seedbox has the added benefit of you being able to build up a lot of share ratio without using your own internet bandwidth.