I don't think so. I rarely use wi-fi away from home (unlimited 4G) so it's not often an issue.
You could possibly do something with Tasker and Secure Settings, I think I tried but got bored. You need to be rooted to run it without a dialogue box I seem to remember.
Yep, PIA drains a fair bit of battery. I only use it when connected to 3rd party wifi.