You can always put a vpn before mac eg using some Cisco or Linux based. Although it is obviously more complicated and expensive.
Edit: also not sure if the router I got from my ISP (which I don't use, but I guess 99% of their other customers do since it is non-trivial to replace without losing IPTV) would allow me to configure it as a VPN gateway. Pretty sure it won't considering they try to lock it down as much as possible.
Additionally, block anything by default that wasn't looked up over my DNS proxy and/or uses HTTPS without SNI...