Proxy & vpn server

Hi,
It's my second post on that forum as a begginer in openwrt word.
I was reading about proxy and vpn servers. Believe I got the point and undesrtand the differences. That's why would like to create my proxy / vpn serwer on my home router. I'm aware there are great commercial things like NorthVPN etc. But I would be happy to have my own.

Currently my OpenWRT version has already installed soft for proxy (at least they seams to be dedicated for that purpose):

  • Tinyproxy,
  • HAProxy,
  • Squid,
  • Frps

VPN:

  • OpenVPN,
  • PPTP VPN,
  • SoftEther VPN,
  • IPSec VPN Server,
  • N2N v2 VPN

I would ask you which should I choose, which one is the best? Which one is easy to set up in your opinion?
Can I have installed proxy and vpn server running together on my router and get benefits from both in the same time for all connected devices?
Can I force my router to use in advance proxy/vpn even I haven't configured that settings on my connected devices? How to achive it while all commercial sollutions require system preparation and finally connection to particular server?

My another goal is to hide my IP during surffing. My first attempts where running up Tinyproxy, HAProxy and OpenVPN on default settings but it doesn't do anything. Quick checking https://www.whatismyip.com/ shows my current IP adddres from internet provider.

I would be appriciate if someone would direct me with that.
Best regards

Tiny proxy and Wireguard respectively.

Sure!

Sure, but in case of https you'll have problems, see man-in-the-middle-attack.

You'll do it centrally from OpenWrt for all the devices.

You need cannot do that from a vpn/proxy running on your OpenWrt. You need to connect at another VPN/proxy and use them to hide your IP.