Just create an Android/Apple/Windows "Alert" rule/policy with  "Geofence Event" trigger type.  Entry to or exit from one or more custom polygonal geofences can be associated with the rule.  There is also an option to "Relocate devices" from original group(s) (say A) to a new device group (say B)  automatically upon alert triggered.   You can thus have the more secured set of policies (any combinations of profiles, rules or advanced configurations) targeted to this new device group B.  

If needed, you can add a complementary Geofence Alert rule with the same geofence(s) but opposite entry/exit direction(s), and the automatic relocation of devices is from device group B back to device group A with the less secured set of policies.

Yup.  Multiple geofence rules can be assigned to the same device.  However, to prevent unpredictable behaviour due to varying location uncertainty reported from the GPS/location services, the geofence regions redined in the different rules should be geometrically non-overlapping with sufficient margin/separation in between. 

Please also note that the relocation decision is made on the server side, and devices can be offline due to varying signal/environmental conditions.   Hence, It is best to include a data-collection rule collecting location data track of the device, so that more accurate interpolation of the device locations crossing any geofence regions can be determined by the server geofence related software modules.