Dubai is one of the best, lawful, peaceful and mesmerizing country of the gulf region. Known for its tough Islamic religion Dubai is known for its tough rules and regulations whether it’s for the tourists or for their own citizens.
Yes, VPN is illegal, but many people use it. The police will never have a chance to go through your computer to know you use it anyway, unless you get yourself in trouble. Skype video chatting is not blocked anymore, but calling is not available just so the communication companies can make more money. Same with Whatsapp calls.
Furthermore, you will not get in trouble for simply holding someones hand. Kissing in public and being overly affectionate is another thing, but simply holding hands is perfectly fine.
The alcohol license is only needed to buy alcohol, but it's still possible to drink at a bar or restaurant without it. You can also buy alcohol at the airport's duty free without needing a license.
Saying you would live in "constant fear" while living in Dubai is a huge exaggeration. People should be aware of its laws if they plan to live or visit, but overall it is very easy to avoid trouble. It does not have as much freedom as many Western countries, but it is also not as oppressive as you think. It's fine if you don't like it, but many people are happy to live there.