Any scanner is probably set up to watch the internet gateway, its not likely to be watching vpn traffic and unless you abuse the bandwidth no one will go looking there. My experience is that the corporate world is a place where talent goes to die. Don't expect anyone to show enough initiative to search for something that unusual. My favourite corporate client has a policy of tweaking internal linux boxes to withstand syn flood dos attacks and non root users cannot view about 90% of /etc, but the boxes themselves are unpatched RHEL5 boxes that the most amateur of hackers could walk through.
The real golden rule is always find out what level of corporate psychosis you are dealing with first. I've seen several corporates where staff above a certain level are issued with 3G dongles to bypass the firewall, others where porn sites are added to a blacklist with no further comment. I've also seen companies where even browsing Slashdot might not be work safe. YMMV.
Meanwhile the real data thieves just dump everything to thumb drives.