This is the type of thing that Nokia is held hostage to as they ask why Microsoft won't move it's ***. There are so many corporate sales opportunities that they are missing now because they can't say they offer VPN support. It's just shortsighted, but it's Microsoft.
Last month Microsoft restructured their divisions, now Windows Phone, Windows and even Xbox One are on the same division, and all of them are working in a cooperative way (not like before, with each division working in a separate way).
This is one of the major shortcomings of this OS. It's a feature in desperate need by the enterprise and international travelers. I hope Microsoft remedies this soon. Because of this feature being absent, I have to carry a second phone (iOS and/or Android for business.