Hmm, you have uncovered a problem with both of our ideas. Steam’s leverage is reduced after they have deposited sales proceeds, and is gone after the publisher isn’t selling games on the platform any longer.
(I’m griping about Rockstar specifically but my point is still flawed in the general case.)
I have an iPhone and a gl.inet gl-e750 portable cell router, and my SIM card stays in the router. I don’t actually restrict my phone the way you’re talking about, but this gives me vpn to my home network without needing the vpn running on each client device. And if I wanted to block connections to big tech company services, I could do that.