in order to know why it is a big business , you need to know how it works and why.
filtering and blocking is based on two ideas.
when you access a service on the internet (like visiting a website or using a service like Skype for example) a connection is established between your device and the server providing the website or the service
those servers have known IP addresses ( Think of it as phone number ) so you can block a website or service by blocking access to their IP address
second method is by filtering , you actually look inside the data being transmuted and if you see keywords that you do not like them being shown, you prevent the content from being delivered
A VPN is more than a proxy that just redirect your traffic , it actually encrypt it (you can not look inside it to filter it), users volatile IP addresses (changes regularly so you cant block those IP address)
thus it is hard to track and block VPNs and it is very popular in all countries that has massive internet censorship like China, Saudi Arabia and north Korea to mention a few