all you said makes sense. further reading, i found some additional arguments for option a (get to vpn as soon as possible):
- if connection method is TCP, then closer VPN server would be definetly faster, because the TCP handshake back and forth EMEA-Japan would take A LOT of time, so to the actual encrypted traffic that would introduce a huge delay
- if connection method is UDP, this delay won’t be there, but then one would be subject to internet (no guarantees) packet drops, jitter, delay and so on, all the way from europe to japan.
- if you connect to a closer VPN server, you’re actually limiting how long you carry the VPN connection, thus its overhead.
so far, it seems to me that all things equal (bandwidth, delays, etc), connecting to a closer VPN server would give the best performance. This is what everyone recommends, but i’ve never seen any actual explanations on why. if someone has a different opinion, please post, i’m curious to understand what would be the benefits of option B. same thing if you have any points that would reiforce option A.
PS:
- About the statement below, yes, i’m assuming if you go to japan you connect to things in japan. if you go to japan to connect somewhere else then that’s a huge “tax” you’re paying 
For example, if you’ve connected to Japan from Europe, but then you try to access something in Europe,
- Not sure about this one. Assuming the VPN is secure and no one can break into it easily, it shouldn’t make a difference. I do understand that connecint to the farest server would provide more points where connection could be sniffed/broken but then the assumption that VPN is secure would be challenged.
From an anonymity perspective, connecting to the closest VPN gives away less data and your traffic which could potentially be snooped on bounces around fewer places vs connecting to a server in another continent.