A solução para isso é encontrada aqui. É possível ter um instalador, que modifica as regras do firewall para realizar isso.
Connect to your VPN as you normally would.
Open the Network and Sharing Center - right-click on the Internet connection icon in the taskbar and choose "Open Network and Sharing Center" (see below)
You should see (at least) two networks listed under "View Your Active Networks" - your VPN connection and one called "Network" - a.k.a. your ISP Connection. Ensure that your VPN is a "Public Network", and your ISP connection is "Home Network". If you need to change either connection, click it and an option window will appear (see below).
Go to the Control Panel and click System and Security (see below).
In the resulting window, click Windows Firewall (see below).
In the Windows Firewall window, click Advanced Settings on the left pane (see below). Note: You must be logged in as an Adminstrator to make changes to the Firewall Settings.
You should see a window titled Windows Firewall with Advanced Security. In this window, click Inbound Rules (see below).
On the right pane, you will see an option for a New Rule. Click it (see below).
In the New Inbound Rule Wizard (which should appear), do the following:
Choose Program and click Next.
Choose the program you wish to block all traffic to except on the VPN connection, and click next.
Choose Block the Connection.
Tick Domain and Private. Make sure Public is left unticked.
Repeat Step 9 for Outbound Rules.