iCloud+ Privacy Relay is among highlights of WWDC 2021. It is the great feature introduced for the casual users who want less tracking and more privacy.
Yes, it is comparable to VPN. But, the later one is still the best option, especially if you want access restricted content on your country. Also, when you prefer masking a single data leaves on your iPhone or Mac.
Here a simple question arises; if the two can be used together? So, the answer is yes, because the Privacy Relay contains filters to exempt some categories of traffic to bypass it.
Apple explained about this as well via releasing an Apple Developers video. Developers can update their apps to enjoy such exemptions and keep them working with VPN even when Privacy Relay is turned on.
If any app asks connection to a lock network, private domains, network extensions, VPNs and proxy, the Privacy Relay will bypass it.
To keep it simple, Privacy Relay won’t interfere when it is active. Similarly, when the VPN is off, you can enable/ disable Private Relay.
Using the two together will provide an additional layer of security. It does not affect the end-user. Rather, it provides an option to maintain the privacy.