As others have mentioned, security is not just about connecting to a vpn. Bare in mind that the IT department has to take care of hundrends of techologically illiterate pc users in their organization and they need as much remote control as possible and as much standardization as possible. I am not saying it's undoable to plug in a linux pc in there, I am just describing some factors

Depending on what work you do exactly and how beefy your machine is, you can spin up a virtualbox with linux to do your job. I had such a case and did my work just fine.