I can make bits and pieces of sense from that, so I'll tell you what I know:
1. Websense only blocks web content from what I understand. Web content is viewed through a web browser. FFXI / POL are not web browsers, therefore you shouldn't have to do anything to have them bypass the Websense-restricted content.
2. FFXI / POL will encounter problems at the firewall level. If you have a competent technical services team, they've probably locked down all non-standard ports - including POL's port range. Unless they've enabled port triggering (which is possible depending on the type of company you're in and what kind of proprietary apps your employees use), you're completely screwed. You'd have to go down on / provide mass amounts of alcohol to someone who has access to alter the firewall rules.
3. Tunnelling to a home computer to play FFXI on is a very, very bad idea. Though your framerate at home is playable, encrypting each frame in a VPN / terminal packet and tossing that across the WAN will result in probably <3fps at your desk computer, if that. Not to mention that I think most remote-control apps disallow full-motion video, which includes games (this means it'll show a blank window instead of the video or game you're trying to watch).
What I'd try to do is get an extra system or a laptop from home that you can throw FFXI on. Most companies have a "dirty" line, which is a public Internet connection similar to the one you have at home. These dirty lines typically have no firewall and no proxy to go through, so you can watch whatever you want through it (pr0n, torrents, FFXI, etc). Ask an IT guy to enable a dirty line in your office (for your visiting clients, of course).