I actually have an AWS machine that runs Steam + VPN and I can stream games to my home laptop, it works really well.

I also have non-steam games that I've added like Star Wars: The Old republic, Starcraft II and Diablo III and they all work well using the same system.

The only glitch I've noticed is that if steam starts before the VPN, I have to RDC in and restart steam so it picks up the VPN network. (If anyone has any idea how to fix this I would be very grateful)