As a general rule of thumb, I have used various VPN services and made sure to never use their clients. Downloading an OpenVPN configuration file IMO seems the best way to go about it.
Speaking of PIA and not using the provider's client, I've written this simple python script that populates PIA OpenVPN routes for NetworkManager on a bunch of Linux distributions, which then pop right into the system tray or are accessible from nmcli, etc. (https://github.com/dagrha/pypia)