How it is used in EA evaluation
VaR is less commonly reported in retail EA catalogues than max drawdown, but it is a more statistically rigorous measure of tail risk. A 1-day 95% VaR of -2% means there is a 5% probability of losing more than 2% on any given trading day.
Limitation for fat-tailed markets
Standard VaR models assume normal distribution of returns. FX markets have fat tails — extreme events are more common than the model predicts. The 2015 CHF flash crash would have been labelled “impossible” by any reasonable VaR model.
For EAs, max drawdown (observed) is typically more actionable than VaR (modelled).