Greetings from McAfee.
By connecting to websites through a VPN tunnel — and not directly — you can help keep businesses, government bodies, hackers, or other snoops from tracking your online activity or viewing your IP address — which, like your actual address, identifies your location — while you’re online.
Devices using the hotspot will connect to the internet but will not be protected by the VPN. However, you can connect devices to the hotspot and protect them with a VPN app on the connecting devices.
If you set up VPN on your device it will only route your device traffic. So it is recommended to setup VPN on device connected to hotspot internet.
Mcafee use multiple tunnel technology to provide better connectivity. McAfee automatically decide which is best for you. As of now, in iOS you get option to choose tunnel manually. In future you can find this options on other OS as well.
Hope I have answered all your question. If i have missed something, feel free to respond to my message.