I seem to find a solution to this problem, came here to share it. It looks like LL_VA,
who posted this question initially, is also on a similar track.
In short - drop Microsoft and go with Google OS.
I was using a combination of Standard MS accounts, Norton family, Circle Disney, but nothing works vs kids installing VPN and/or programs (exe. files) into newly created, "Program Folder" in their downloads. Downloading MS store games is just a breeze for
them. So, I was fixated on how to firewall from installing ANY exe. file. The solution is simple - go with Chrome OS, which by design doesn't allow any external exe. files. I borrowed two chromebooks from school and those seem to do their job, except being
tiny (11 inch screen) and quite laggy due to oldish hardware. Will be on a lookout to buy 2 new Chromebooks with larger screens (14-15 inch), good wireless network card, and CPU this coming Thanksgiving.
My older child's 1yo top-notch laptop will be transferred to my spouse, who needs a replacement. Both kids will be handed big screen fasty Chromebooks, which are more manageable for parent controls.
Chrome OS as of 2019 had 60% of education purposes market share, when those kids grow up, they will continue with familiar environment.
Cheers!