The “loopback adapter” is almost never what you want. It would be better named the “blackhole adapter”: all Tx traffic gets dumped into /dev/null, and it simply doesn’t support Rx at all. It only exists for rare cases where an application insists on partying on *some* network interface, but you don’t want it to see any real network.
If you want an easy way to create a custom VPN, start here: https://docs.microsoft.com/en-us/uwp/api/windows.networking.vpn
If you have to build something that works on Windows 7 or earlier operating systems, then you’ll need something else. You can build your own kernel driver. Or (and this is not an endorsement, but merely a mention), many companies elect to reuse TAP from OpenVPN.