Using VPN to bypass Rome 2 region lock.

Using VPN is against Steam ToS and you can get ban for it.

You steam account could possibly get banned.

Ever heard about when the USA military had that "Don't ask, don't tell policy"?

Can't you just refund?

I bought it from a legit store though, not some random Russian store. Does that make it okay?

Get GamersGate to give you a refund as they sold you a product with misinformation

SEGA的游戏锁了全亚洲，好像运行也锁区。而且用VPN很容易被BAN，所以要买还是找找零售商吧。

You can try.

A VPN is never "legal" in relation to the Steam TOS.

I'd go back to Gamersgate and ask for either a refund or a functional key.

Would not recommend. I used VPN to buy games about 3 years ago. Got my account locked and had to wait 3-4 days for them to unlock it.

I am not using VPN to buy games. In fact, I am using VPN to activate key bought from legit retailer. That should be legal, right?

Closing thread. Using VPN is never legal, and is never the "right" option.
Contact Gamersgate, explain your situation and demand a refund.