I work at a microsoft based company and I am running Linux on my machine after getting approval from my IT security people.
I do need to set a couple of things up, for my machine to still be compliant with the company policies.
So far that is:
- Enrolled in Intune (via microsoft's intune portal app)
- Full Disk Encryption (pretty standard these days)
- Microsoft Defender Endpoint (a requirement many companies have)
- Strong passwords that's changed pretty often
But whether you are allowed to or not, really depends on your IT department and the company policies.
I was considering doing something similar to OP, but I also think it's better to do it the other way around, having the backup server connect to the network when it's time to do a backup. Then you can just use the trusty ssh/rsync combo for backup.