Works over NATs and proxies. And obviously the techniques from there are already used by those who want to sell your info for profit. So, please, let's put this meme to rest :-)

Blacklisting can and will happen based on other things, just that it is more costly and less performant. So the consumers will pay for that in hidden costs - less of the "useful" services delivered, etc.

The VPN part is sort-of correct - it will depend on the type of the NAT. With most of the NATs, establishing the direct connection over a pair of them is technically possible - take a look at STUN, TURN and ICE (IETF standards).