So I have Windows 10 running again and I've successfully blocked the telemetry/forced updates:
1) Install openwrt/gargoyle custom firmware on your router (I already had this anyway)
2) Add a simple iptables rule (on your router in /etc/config/firewall) to DROP (not REJECT) all WAN traffic over all protocols from your windows PC by MAC address. LAN traffic is still good.
3) Install and configure a SOCKS server on your openwrt router that simply forwards connections from clients right back onto your network (LAN and WAN). Dante (aka "sockd") is in the repos and it supports TCP, UDP, ICMP as far as I can tell.
4) Install an application "proxifier" client on your WIndows PC and configure it for the SOCKS proxy server on your router. Then selectively proxify each application. I'm using SocksCap64 because it supports UDP and automatically proxifies child processes. The application is freeware but proprietary (tries to load up an advertisement in its GUI but it fails to load since it doesn't connect to the advertisement through the SOCKS proxy). If your Windows applications have integrated SOCKS proxy support, may as well use that.
As far as I can tell this works fine (at least with everything I've tested, including Steam and multiplayer games). I realized that any software firewall / bandwidth shaper I installed in windows itself was likely going to get circumvented since ultimately the OS has control of everything up to your NIC. There's probably some line of code in there that checks for internet connectivity before control ever reaches your userspace firewall/bandwidth shaper application. But with the above setup, from the OS's perspective it just looks like I'm running Windows on a LAN-only connection. So unless the OS opportunistically takes over the proxified applications's connections and tests for internet connectivity, I don't see them getting around this.
Will have to give this some more time of course and monitor things closely to ensure that there aren't any issues with this. Can then write up a guide if anyone's interested.