I've had a cheap HDMI 2x KVM setup for some time now, and I haven't noticed any loss in image quality.

Are you using a CRT?

Eitherway, if I'm not incorrect, VGA is an analogue signal that is susceptible to decay with cable length (and possibly interference).  I'm totally fine using VGA if it's all I have, but, I believe, if the option is available to you, you should be using DVI or HDMI, or even display port if you have the option.  Those are all digital signals.

There are a plethora of DVI KVM's, and even some HDMI ones out there.  I'd return that one to amazon, get your money back, and find something on ebay or something if that's an option.  Using a shorter VGA cable to connect the KVM to your monitor might help the issue, _might_.

If it's necessary that you use VGA...  All I can suggest, again, is having a shorter cable length between the monitor and the KVM, with minimal interference (not having the VGA cable next to any power cords or anything like that).  The KVM itself might just be shoddy as well, but, I'm no expert on circuitry and stuff.  Though, being that the device is cheap and from amazon, I'd say that's a possibility.

Ebay is my goto for that sort of thing.  You could probably find superior quality for around the same price there, even if it's used.

https://www.amazon.com/dp/B092Q2DVC2/