Kind of on the document: see https://techcommunity.microsoft.com/t5/microsoft-endpoint-manager-blog/planning-for-cloud-native-windows-endpoints-and-modern/ba-p/2834249 and https://techcommunity.microsoft.com/t5/intune-customer-success/success-with-remote-windows-autopilot-and-hybrid-azure-active/ba-p/2749353. We have some more formal documentation in the final phases of coordination right now.
As for initiating the VPN, there are two ways to do this: an auto-connecting VPN or a user-initiated VPN. Either way, the VPN client must be deployed during the device phase of Autopilot. The second link above discussed this briefly and includes links to the relevant documentation. Exact details for each VPN client though are up to the VPN vendor.