VPG stands for Virtual Protection Group.
A VPG is essentially an affinity group of one or more VMs. They are then grouped together from that point on and exist from a Zerto perspective as a single entity.
Usually you will group together VMs that need to be dealt with and kept at the same point in time. Examples of this are Domain Controllers or a web front end and its database counterpart.
You may also consider grouping VMs together based on the target RPO. All Silver VMs together and/or all Bronze VMs together.
Generally speaking the more VPGs you have the more granular control you will have over the environment and the more flexibility you will have when failing over or testing the product.
It is completely up to you, dont worry though if you change your mind later you can always delete the VPG and create a new one.