I do something similar but using WSL on Windows. But something I really, really hate is dealing with special certificate handling required to pass the corporate Zscaler proxy. I think it works somewhat transparent on the Windows host, but repeating the setup in every VM is such a pain.
Heh, my employer is rolling out Zscaler this year. The limited trial a few months ago was hell for folks using WSL primarily, with Docker images adding an additional layer of pain. The people in the trial got very little done until it was decided to pause it, and I do not have high hopes for when it’s tried again. It strikes me as basically running malware in the name of security.
I worked at a government agency that used Zscaler to perform TLS MITM inspection. You have to create a tunnel to a Zcaler datacenter and send all your traffic to them encrypted with a certificate they provide so they can decrypt it. Then they encrypt it again and send it on its way. It can detect things that otherwise could not but you are putting a LOT of trust into Zscaler security because anyone who hacks them can see EVERYTHING you are doing. And it is a HUGE waste of processing power and joules. You can create exceptions for URLs and source IPs.
I much prefer filtering on the endpoint before TLS encryption.