The service seems kind of generic, maybe even worse than the other generic VPN services. No statements about what they log, whether they allow p2p, no mention of port forwarding, servers in only 5 countries which you may/may not want to VPN through, etc.
Not sure about the software, I guess they think it will be an improvement over OpenVPN/WireGuard which is debatable.
No display at all? I suspect something else is at play there...
On that model during bootup
F2 = BIOS
F10 = Boot Menu
You should be seeing something in the Boot Menu, or at least be able to get into the BIOS?
Also double-check the USB formatting, I don't remember if that NUC has UEFI boot support or if it needs to be enabled in the BIOS beforehand. e.g. if your USB is formatted to boot legacy then reformat it to boot in UEFI, or vice versa.
I actually have a few of those NUC models around but am not sure what it does exactly with no SSD, I think/thought it should still be able to handle USB boot in that situation.