I've setup modems to pass VPN server traffic to a local PC. I prefer to use VPN software that uses firewall traversal (opens a port as needed, no setup of modem required). Firewall of the modem can be left at Typical level, But you can setup port forwarding for TCP port 1723, destined for the IP address (using PC Name) for the system.
Under no circumstance should you use DMZ for anything facing the internet. The PC firewall would be your only line of defence against intrusion, and I wouldn't trust that against the Ignite firewall and Advanced Protection screening for known bad intruders. You wouldn't believe how many ports are open by default on Windows.
Be very careful with the setup, as the VPN software will need constant updating against issues that may be found. And make usernames/passwords very difficult to guess. If you can specify allowed client MAC addressing, I would do that. I just read about PPTP, and it would concern me that my computer is open up to the Internet:
"However, despite being widely used in the nineties, the PPTP VPN protocol doesn’t live up to modern-day VPN technologies. It has significant security issues, making it vulnerable to certain types of attacks (e.g., bit-flipping). "-NordVPN
Good luck...
