Sounds like you did a decent job. Why would you connect the Proxmox host to the VPN? Typically you’ll route certain local addresses (or whole subnets) via chain forwarding. That way, when you connect to the VPN it’s as if you’re on the local network. The way you’re describing it, you would need to know it’s VPN IP which is usually dynamic. And you don’t typically want VPN clients to be able to access each other - just the local network. It really all depends how you set everything up.
I’m about 21-22 year round (also in Canada) and my server room isn’t much warmer than the rest of the house but it isn’t closed off either. The larger air space you can give it, the better.