SDWAN: Are you still sending traffic to the DC for Internet?

We are currently looking at implementing an SDWAN solution and thinking about the idea of doing internet breakouts at each branch site instead of sending them back to the security stack at the DC. One of the concerns is visibility and security. Do vendors like viptella and velocloud offer this? Or do we need to use something like Zscaler ? We initially wanted to just setup sdwan and still send everything back to the DC.