This. ProxMox will save you many times over while you are learning. It makes it so easy to backup and restore, try out new projects in a sandbox, and much much more.
I credit ProxMox with making me bolder about what I wanted to accomplish and having the courage and time to take risks while knowing I could always restore from backup in an instant.
What are you hiding? /s
I think you could do that, but you will be further bottlenecking your bandwidth, and you will be adding an extra layer of complexity that could lead to unforeseen issues down the road.
Personally, I would just enable the kill switch, or run the VPN client side, but not double it up with 2 VPN’s.