Via app.net@remus I’ve learned that Sophos has a free for non-commercial (max 50 IP) home edition product:
Our Free Home Use Firewall is a fully equipped software version of the Sophos UTM firewall, available at no cost for home users – no strings attached. It features full Network, Web, Mail and Web Application Security with VPN functionality and protects up to 50 IP addresses.
The Sophos UTM Free Home Use firewall contains its own operating system and will overwrite all data on the computer during the installation process. Therefore, a separate, dedicated computer is needed, which will change into a fully functional security appliance. Just right for the spare PC you have sitting in the corner!
… Use Web Filtering to stop sites from infecting you with viruses and spyware, keep your kids from surfing to bad sites, and get full reporting on the activity in your home…
… Dial in using Roadwarrior VPN access to securely use Remote Desktop, transfer files, and even print, from anywhere in the world, even from your iPhone...
The usual installation is on an old PC, but it can be used "within a virtual machine … Virtual appliance can be run directly in any VMware vSphere Edition”. From a quick read however an old PC with two network cards is more practical.
One should proceed with caution however - the download page has a bad link to a “Sophos Community” support forum; the real forum is hidden away at an astaro.org url. I assume this product was acquired from astaro. There is activity on the forum, but you need to be prepared for some pain to make this work.
Other VPN alternatives mentioned in that app.net thread: OpenVPN (easier to setup than OS X Server VPN) and, of course, Synology NAS. I think you’d only want to try this product for the web filtering and monitoring features.