To bring up just one thing that doesn't have to do with trustworthiness: If you let an employee onto a 3rd party VPN you open yourself up to a whole new vector of attacks that you can't prevent.
And then there's the problem with allowing unrestricted, unmonitored Internet access with regards to auditing and establishing a timeline of events if you ever need to do so.
And then there's the problem with allowing unrestricted, unmonitored Internet access with regards to auditing and establishing a timeline of events if you ever need to do so.