When I ran rooted Android, I used AdAway to keep my HOSTS file up to date. You can’t do that without root, though. At least AFAIK.

you can, not with adaway but others like rethink dns that function as a VPN, without actually using a VPN provider.

when you do that, you can’t use any other VPN apps. though some (including rethink) have additional functions, like an outgoing firewall, wireguard, proxy support, …
though if your company requires a different VPN app… then get a company phone, probably.