A virtual private network (VPN) encrypts your internet traffic, making it harder for hackers, ISPs, and third parties to see what you’re doing online and intercept your sensitive data (emails, banking information, passwords). Connecting to one on your phone will:
Contact your VPN provider (personal VPN) or your network administrator (work VPN) for information needed to set it up. You might need to install a VPN app and start the set-up process in that app.

The network is stored in the VPN list so you can select it when you need to connect.
If you set up multiple VPNs, you can only connect to one at a time.
Tap Connect.
If you use a VPN app, the app opens.
When connected, you'll see 

Check Always-on VPN.
Not all VPN apps support this option. If you don’t see Always-on VPN, then your VPN app doesn’t support it.

Adjust settings:

If still missing, it's likely a firmware issue or system-level restriction:
