I’d download all emails locally using an email client (POP3). If you don’t like your current email provider, simply use another that you can use POP3 with and send out emails to everyone who needs to know your new email address. Thunderbird and Outlook are two common options.
Instructions on how to install a paid-for VPN come with the subscription. Better ones include PIA VPN and NordVPN. It is easy with Windows or your phone to use a VPN. If you want your router to be your VPN gateway, that can get more technical and might require a 3rd party router firmware (it’d be a free, open source choice).
As for your “cloud,” simply drag and drop all files you see to your computer, then erase the cloud drive after proving you got the files locally.
On the emails, you won’t “move them” them to the new host—you keep them local and just never upload them to the new provider. IMAP keeps them on the remote server while POP3 brings them to your computer. There is an option to have POP3 delete them from the provider as they are copied down.
Hope this helps.
How do you get POP3?