@Nick Broomhead, Thanks for posting in Q&A.
From your description, I know you want to prevent users from turning off the VPN. Based on my research, Intune didn't not have this feature. In general, Intune develop the feature according to the API Apple MDM provided. After researching, I find there's no feature in apple MDM either. To request this, you need to contact Apple support to see if we can have this feature in the future:
Meanwhile you can also contact Defender support to see if it can do on Defender side.
Hope it can help.
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