If I worked for such a company, all my traffic would be flowing over a VPN, full-stop.
When you work for such a company, all VPNs are blocked and prohibited, full-stop.
Source: worked for such a company
All direct Internet access is blocked and prohibited, with all attempts to access the Internet (tcp/80, tcp/443) transparently proxied via Bluecoat/Websense/Forcepoint/etc proxies, which filter based on URL categorisation. WSS generally doesn't work in this kind of environment. Everything else is dropped.
Any attempts to bypass filtering is a violation of IT policy and is sackable. Visiting sites that are blocked gets logged, doesn't generally get flagged up unless is a daily occurrence, and the first assumption is usually malware.
Source: Worked for several such companies, was responsible for perimeter security in some.