VPNs are good at encrypting/redirecting all of your device's traffic, since they're per-computer by default. They're accordingly good at preventing metadata leaks (e.g. visited sites or used apps) on untrusted networks.
Proxies are opt-in, but can accordingly be much more fine-grained. For example, Firefox supports per-domain (via various extensions) or per-tab (via the built-in "containers" feature) proxies – VPNs usually can't do that.
These bridges/adapters do have their applications though – I have a home router that supports Wireguard natively, but not any of the higher-level protocols; this lets me use my per-tab approach with it.
It is trivial to run a socks proxy on one of the peers and have your browser point to that. Both chrome and firefox can do this on demand and for the sites you select.
SOCKS is also usually not encrypted.
> 3.13.7 Prevent remote devices from simultaneously establishing non-remote connections with organizational systems and communicating via some other connection to resources in external networks (i.e., split tunneling).
> DISCUSSION
> Split tunneling might be desirable by remote users to communicate with local system resources such as printers or file servers. However, split tunneling allows unauthorized external connections, making the system more vulnerable to attack and to exfiltration of organizational information. This requirement is implemented in remote devices (e.g., notebook computers, smart phones, and tablets) through configuration settings to disable split tunneling in those devices, and by preventing configuration settings from being readily configurable by users. This requirement is implemented in the system by the detection of split tunneling (or of configuration settings that allow split tunneling) in the remote device, and by prohibiting the connection if the remote device is using split tunneling.
And yep, it does indeed cause all of the problems you describe.
That said, I'm aware of at least one that tries to support an "exempt/excluded hosts" feature, but it does this via some hack using its local DNS resolver and modifying the routing table on the fly, which does not work reliably.
https://support.mozilla.org/en-US/kb/protect-your-container-...