DameWare SSH Client for Windows is free. Pricing for DameWare Remote Support starts at $349 and pricing for DameWare Mini Remote Control starts at $99. Both include the first year of maintenance.

Both my keys work fine from Windows Subsystem for Linux ssh, so I'm confident that they're fine; the native Win32 program just doesn't like them for reasons that aren't at all obvious at this time.

SSH requires encryption processing on the host machines, VPN is usually done on an ASIC on the tunnel endpoint device, meaning the hosts don't d any special work to send the data.