Thanks for the long write-up. Agree with your assessment on AWS Workspaces, which I have used both for professional and personal use. Great service and very flexible.
You do need tech skills to set it up and get it right though, especially if you run confidential stuff on your cloud PC. As you said the whole security config, with virtual networking, internet gateway, VPN etc is quite the setup.
All of this is seamless with Windows 365. Easy straightforward setup and also the integration with local PC (sound, video, peripherals, multi-screen setup) works really well. I have been impressed with Windows 365 so far. Definitely not cheap, less configurable but as a usable solution out of the box it definitely delivers. That said the need for a Microsoft 365 business account is a drawback and adds to the base cost