It's not sensitive, it should be public knowledge, the more you know the safer you will be.

Two indispensable tools are the whereis search and the whois search and always be mindful about site traffic not being encrypted (https)

A domain has to create an "A record" that points an IP to a domain name otherwise you'd never find it.

VPN's are not suited to hide a domain. However, a proxy server can redirect traffic to a second server. Just because a site might appear to be in the US dosn't necessarily mean that it is, but it would mean that the proxy server is. LE could easily subpoena the company running the proxy server and start monitoring its network traffic even if the host computer is off shore in Panama.

The fact that the server is unsecure is using http means that the traffic to and from the server is open. If the server was secure (https) the traffic to and from the server is encrypted.

So the question is, how safe is the http traffic?
Why use a proxy server in the US?

Big companies like godaddy which sells domain names and manages massive amount of traffic will use server farms which is a collective of servers that load balance traffic. Those servers can be spread across the globe.

GoDaddy, when hosting a domain will create a CName record that will point to the server within the godaddy domain. For example, when you type http://HGHNUP120.COM it actually goes to http://godaddy.com/HGHNUP120 (this is an example, I'm not saying that it is hosted by godaddy)

When that's the case, a whereis search might show the domain as being in (e.g.) California, Vermont and elsewhere depending on which godaddy server was used when an ISP name server resolved the hghnup120.com domain.