>It is difficult for an average user to set up a proxy

I'm sure that if there's enough demand for it, someone would make an app. A simple SOCKS5/stunnel server with a few buttons shouldn't be hard to make.

>and there is still a possibility to detect PC by analyzing unencrypted DNS queries to MS domains for telemetry servers.

This would really only be an issue if you don't have VPN killswitch set up on the tethered devices. Even if this can't be prevented, disconnecting phones because they made a connection to MSFT telemetry servers can be easily turned into a DoS vector. Want to mess with someone's internet? Put a bunch of img/script tags to MSFT telemetry servers on your site.