Internet connection only when connected to VPN

This should be only possible, if you have a Management system in place, which can configure the local firewall of windows. Otherwise the client will have a default gateway and connect to the internet. What is the use case of such request? 

it appears we want anything related to web activity / traffic to go thru the XG firewall. So it logs the evert in the firewall such as website visited.. We are also attempting to use those company owned just for that do company related work. 

it appears we want anything related to web activity / traffic to go thru the XG firewall. So it logs the evert in the firewall such as website visited.. We are also attempting to use those company owned just for that do company related work.