NHL, like other sports leagues such as the NFL, aren't really targeting joe schmoe at home. Typcially, they're concerned about places where the public are showing the games. If caught, they usually sent a cease and desist letter (bars showing blacked out games in San Diego (NFL)
If you're paying for something, such as an online sports package, you're not stealing. You're using a product in a manner that owner of the content does not want. NHL has the right to determine how their product is to be used.
As someone who has been using VPN for almost two years to watch various sports events that would not be available (NFL Game Pass, BBC iPlayer, STV) and sports games (local team and national broadcasts), I haven't been that worried about it. Is there a risk I could get popped sure. But when it's just myself, family, and maybe a friend or two, it's not like I'm making any kind of profit, so how am I going to get caught or bring attention. Heck, I've even used the service at the stadium of the blacked out game (via smartphone).
I prefer to use online service with a VPN than some feed on JustinTV, Ustream, LiveTV, and so forth. Plus the quality is a lot better and reliable.
And the termination and fee thing, all the sports I've subscribed to (NFL, NBA, MotoGP, MLB, and NHL), all say it. The only thing that's different is the fee.