Privacy on Streaming Boxes and "Smart TVs"

I am pretty sure by installing a custom OS you loose Dolby Vision and Atmos, AI-upscaling and maybe HDR and Chromecast?

The other alternative is NVIDIA shield which is also expensive than Apple TV.
source: https://foundation.mozilla.org/en/privacynotincluded/categories/streaming-players/

True. Apple don’t allow VPN apps to be installed directly. and using a VPN would break the TOS for every streaming app out there

There is yatteee pointed out by @ gapaderus here.