Smart Grids require extensive communication to enable safe and stable energy supply in the age of decentralized and dynamic energy production and consumption. To protect the communication in this critical infrastructure, public authorities mandate smart meter gateways (SMGWs) to intercept all inbound and outbound communication of premises such as a factory or smart home, and forward the communication data on secure channels established by the SMGW itself to be in control of the communication security. However, using the SMGW as proxy, local devices can neither review the security of these remote connections established by the SMGW nor enforce higher security guarantees than established by the all in one configuration of the SMGW which does not allow for use case-specific security settings. We present mechanisms that enable local devices to regain this insight and control over the full connection, i.e., up to the final receiver, while retaining the SMGW's ability to ensure a suitable security level. Our evaluation shows modest computation and transmission overheads for this increased security in the critical smart grid infrastructure.