Mmm does the app go through the VPN?
The message app is for SMS messages, so as far as I'm aware, no. A VPN is for internet connections. If you want to use messaging through internet/VPN, then use an app from here.
If I set up user profiles, does each user ( outside of owner) see only their messages and phone calls?
No. SMS and phone calls are for the whole device. All profiles access the same messages and phone calls as long as the Turn on SMS & phone calls
option is enabled in the profile settings.