To “link” other devices you have to scan a qr from your phone, so it’s certainly possible that during that process the devices connect and share the key, and the servers don’t have it.
Or the servers could have it. Idk, it’s closed source, that’s the problem at hand.
That would require the VPN service to keep track of users’ usage and be able to match traffic to user, which most (or most of the big ones at least) very specifically, very on purpose, explicitly say they don’t do, which would be really bad for them if it turned out to be false.