Is it possible to buy a box with built in VPN? I don't want to have VPN setup in my router because it will slow the internet for all the services I use.
That is incorrect. You can setup routers to route specific address ranges through the VPN connection and the rest through your ISP. Or you can setup a second router as the VPN router and use that for a gateway for your devices you want to force over VPN like a Mag. Again you can also setup routes in your normal router to redirect traffic to the VPN Router. I do the later. All traffic that deals with UK channels are automatically routed through the VPN router which dumps out in the UK so I can get the UK channels everything else goes out the internet the normal way. The VPN Service I use is very good, getting 20+megs down. Plenty to watch TV