What I did is use a ssh tunnel and rdp over that. ssh and RDP are both build in to windows. VPNs often don’t work because some software needs to be installed.
You are able to force devices to use a specified DNS. even when they have hard coded DNS in them. Your router/firewall must be able to support redirection of network traffic though.
Also one other great example is GPS. Just like SELinux it is very well understood and open.