As someone in a rapidly corporatifying company I'd like to reinforce how insanely hyperbolic that statement was. These rules don't exist for security reasons, they exist for contractual issues - rules will often be arbitrary and decrease effective security by requiring frequent elevation or encouraging weak credentials.

OP, do what you think is going to help you work most effectively - if you're using your work machine's tunnel to run torrents over your employer's VPN or look at nekked ladies then you'll be sacked if you get found out - if you're tunneling because your employer is a Microsoft shop and won't let you install vim then your manager (if they don't suck) will defend you if you're discovered.

Even if you get fired for working around the company firewalls it'll almost certainly be without cause (so EI/severance will apply) and it won't be career ending - nobody smart cares about this bullshit.