By using a usb cable you will bypass a potential security hole (if there is any).
Also performance will increase because of the direct connection (battery life also).
The only downside of using a USB cable is a potential driver issue (very unlikely)
If you want to connect both your phone and laptop, activate the VPN on your phone, if only one of the devices, do it on that device.
There is something to be said about DNS leaks and general traffic-leaks but that is a something about the implementation of the VPN and will be device-specific. This is change the principle of which of the 2 to be the entry-point of the VPN