Not directly today. Prior to Win 10 20H2, this was not exposed for control via MDM.
Win 10 20H2 does include an ADMX-based policy though: https://learn.microsoft.com/en-us/windows/client-management/mdm/policy-csp-admx-controlpaneldisplay#admx-controlpaneldisplay-cpl-personalization-nolockscreen. This is not currently directly exposed in Intune though although will be soon.
Today, the simple path is to use a PowerShell script to configure the NoLockScreen value in the registry (under HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Windows\Personalization).