It will be encrypted through the VPN, so there will be some overhead. But will be as direct as it can be. It only routes through tailscales servers as a last resort, when it can’t find a direct route at all (usually because NAT holepunching fails somehow). Their “DERP” relay servers just relay the encrypted connection. I think you can use your own relay servers, but I don’t know if that feature can be disabled entirely.
Headscale can be entirely self-hosted. It still uses the tailscale client applications- but is compatible.
additionally the acl/auth system, their dns and service discovery thing is nice, though not essential.
I like the idea of it but can't even imagine trying to get it past the cyber security folks.