Well that depends a lot on the cpu, some have very low power states that can drop the power used to just a watt or two at idle, these are more common in laptops. Server cpu's may not drop down as low, or as quickly, in order to respond quickly to new requests. Before the days of speed stepping, the cpu would use similar power regardless of utilization. This article from 2008 highlights some info for xeon. https://software.intel.com/sites/default/files/m/d/4/1/d/8/p...
My stance on free VPN's is that there is somebody paying for a server and bandwidth somewhere. They have to be making money to keep that up, so its either injected ads or your browsing and usage information is being sold. (which defeats the purpose of a VPN IMO)