I have figured out a way to "split tunnel" using Hyper-V. My VPN uses a LAN on the host instead of a virtual adapter (I don't know how it works). Anyway, I configured a Hyper-V virtual switch to use my physical network adapter directly. This way, while my host has the VPN connection, any virtual machine using the virtual switch doesn't have it.
Question is: Does this way of split-tunneling pose any security risk?
P.S. I know my VPN has a built-in split-tunneling function, but this is only per-application. With Hyper-V, I can make it at the entire machine level. So if there's no known or potential security risk I really would like to continue this way.