Hi Jascha234234, until Microsoft decide to add this functionality, here is a workaround that should work for you . . .
Create a new bat file and add the line below, editing Connection Name, UserName, Password and Domain Name
c:\windows\system32\rasdial.exe "VPN Connection Name" [username] [password] [/domain:domainname]
Save the bat file somewhere safe on your PC, then add a shortcut to the bat file in the folder below (Replace UserName with your login name:
C:\Users\USERNAME\AppData\Roaming\Microsoft\Windows\Start Menu\Programs\Startup