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As an option - a router with configured VPN via HTTP proxy.
A normal HTTP proxy can, at most, forward TCP connections to arbitrary addresses and ports. For example, a UDP packet cannot be sent; network layer emulation is needed.
“Sharing the Internet” is routing and NAT, the 3rd layer of the protocol stack.
“Take Internet from an HTTP proxy” is a higher level (6 or 7 - even a special one will break a leg).
If you want an absolutely transparent system that does not require any settings from users, you need
• either a cunning application layer gateway (ALG) - then a bummer;
• either a "transparent" proxy in the local network, capable of operating in gateway mode - then this ALG is already in it, and absolutely any router will do, however, it will have to be slightly adjusted (disable NAT, enable firewall, adjust routing). Since there is a firewall, so that users do not go anywhere, the ZyXEL Keenetic series is better, the firewall is not bad there. How to check? In the TCP/IP settings, make the router the gateway. If everything works as it should, take Keenetic, it is expensive, but it will work.
• either - says 15432 - set up an external VPN network to the proxy. The configuration is exotic, I don't know how it works. If you check it and it works, any router capable of accessing an external network through such a VPN will do. A better processor is desirable, usually VPNs are orders of magnitude slower than simple L3 + NAT.
If you can allow users to set up a proxy in their browser, then any router with NAT to disable and a good firewall.
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