A firewall is waste of money in the application you want. Generally a firewall is used to protect a server that you are allowing outside machines..ie internet.. to access. You want to protect the server from any attack or maybe restrict who can access it. It also to some very small extent filter traffic from internal machines going to the internet. That is not very effective because all traffic is encrypted so there is no way to actually see what is being done. At best you can block IP addresses but as your univeristy knows that is easily bypassed with a vpn.
To protect your internal device it is as simple as using any consumer router. The NAT function will protect the internal machines just because it is stupid. Say someone on the internet, or in your case other students on the university network, attempt to hack you the NAT does not know which of your internal device to send the traffic to so it just drops it. This is the same as a fancy firewall rules that say only allow traffic to come back from session that were established from a internal machine.
I am somewhat surprised the university even attempts to block vpn. They would have to block all the ip used by the common vpn providers. The most common vpn client uses openvpn which can be configured to appear at normal HTTPS traffic using the standard HTTPS ports. This massive firewalls in china have a way to detect some but even they can only block via ip addresses. China can't block the people who setup private vpn servers without say blocking all the amazon,google, cloudflair etc hosting centers.
Be aware the university can prevent you from using any unauthorized device. There are advanced setting in 802.1x used to prevent you from substituting devices and your router likely has no way to log into a network itself.