Apparently Microsoft has started blocking VPN purchases in the Xbox Store.
More and more Xbox players are reporting that they can no longer redeem their purchased foreign codes via VPN. Instead, they receive a message that use is not permitted and that circumventing this block can result in sanctions for the respective account. The VPN purchase could also be reversed and made invalid.
An official confirmation from Microsoft is still pending, but apparently Xbox is in the process of closing this backdoor as well.