Windows (built-in) VPN Provider for Windows 10 / Mobile
According to documentation (see link below) Intune only supports creating VPN profiles for a set list of connection types; Cisco AnyConnect, Pulse Secure, F5 Edge Client, Dell SonicWALL Mobile Connect and CheckPoint Mobile VPN
The Windows (built-in) VPN Provider for Windows 10 / Mobile should also be supported.
You’ve been able to configure Always On for Win10 devices using a custom OMA-URI fo ra while now, but as of the week of April 23, can enable Always On for Windows 10 VPN profiles directly in Intune in the Azure portal. Does that get you what you need?
Alan Armstrong commented
Can we configure Windows 10 Mobile (and possibly PC) native VPN client so we can use a MS VPN server for the connection? would allow us to use the current VPN for Mobile devices. You can manually configure it this way, Just needs adding to intune, or the OS changed so the API can allow it.