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If you're using the SSL enabled ports, you shouldn't need a VPN. The SSL should keep you plenty private enough from your ISP. But it won't hurt if you use it and want the additional anonymity.
If you're not port forwarding, you shouldn't need to setup the login forms. That is, unless you wanna keep people on your home network off of those pages (if they find them).
Port forwarding should only be necessary if you plan to access your download apps outside your network. Remote management.
NZBGet is no longer supported. It was end of lifed November 2022. I would suggest something else.
I moved to Sab and like it.
I wanted to give Usenet a try so I installed NZBGet
The main NZBGet project is no longer being developed. There is a newer fork of that project but it's still a bit early to say how actively developed it'll be. You may want to consider installing a more actively developed usenet downloader e.g. SABnzbd.
That said I don’t know if I should edit any security settings
There isn't a whole ton you need to do out of the box unless you're doing something more specific. Definitely do not port forward your usenet downloader's listening port to the open internet unless you have a reason to (and you know what you're doing). New people often think they need to do this without realizing they are opening access to the usenet downloader to randoms on the internet.
Some advanced users do enable usage of blacklisting/whitelisting file extensions e.g. purposely ignore or delete .exe files during your nzb downloads since those are usually malware. In SABnzbd that's in the settings under Switches / Unwanted Extensions and Cleanup List. Also see the forums e.g. https://forums.sabnzbd.org/viewtopic.php?p=128401
Just to add, I'd only recommend port forwarding if you need remote management and have security set up. For most people just keeping a list and adding it when you get home will work just as well and be a lot safer.
I've been port forwarding in conjunction with an android app called nzb360 on Android. Love that app. If you go down that road, make sure all your services are set up with a login and a good unique password for each app. Don't share passwords. Make them long and annoying. Haven't had any issues yet but the possibility always exists. I've seen the logs of IP 's that tried to access my SABNzbd page, it's scary, lol. So many people are just scanning for anything and everything exposed all the time.
As long as you don’t publish your nzbget server externally (outside your network) via say port forwarding, you’ll be fine.
Rely on your providers SSL enabled ports, default settings are good, but I would recommend changing the default password though if the nzbget installation.