I've only been able to test this with Catalina and Cisco AnyConnect. It works for me in that I can VPN to a customer site (or into work from home) on the Mac, change my VM (Windows 10 Pro) to use NAT instead of a bridged connection, and then do things like RDP to remote servers, access shares on our NAS box at work (from the VM) etc. Not sure exactly what you mean about web sites that are only available in VPN aren't - ie. they're only available if you use a VPN on the MAC and then browse to them for some security or other reason? Or that you can't browse the Internet at all from your VM.
Currently not able to test with Big Sur
