From a recent experience, allowing any of our users to use their own internet connection is simply a recipe for disaster. And this includes not being on the VPN. We have a group of 50 or more agents (call center environment) who simply use their work computers for personal use, and when they screw up the box... it's our IT staff's problem.
We're now to the point where the PAC file being used not only sends their traffic to our proxy, but if their IP address doesn't fall within our scope (either VPN or internal), we send any web traffic to be proxied by their own machine to basically go nowhere. They have access to the exclusions we've made around the proxy, and nothing else. Personally, I'd like to make this change building wide, because, outside of IT primarily, most people have 0 clue when it comes to avoiding Phishing/malware filled content. And, mind you, none of these people have admin rights, and the viruses are simply infecting User content and other the user privileged paths... which, in the end, still consumes IT's time and efforts.