But they have had a visit by the police, as indicated by the blog post you linked to, and all the post says is what you should expect to happen (meaning that they had no data to provide).
Obviously, with VPNs, it's fundamentally a service you have to trust, and everyone's situation will be different. Do you trust your ISP more than your VPN provider? If the answer is no, then using a VPN makes sense.
As far as commercial VPN services go, I would say that Mullvad is among the most honest about what they provide (and what they don't provide) and they care about fixing issues/leaks etc. when they find them.
It's not clear what would've been a better way to handle the police visiting their company. If they hid it from people, that would be suspicious. I found their decision to be transparent to be the right choice.