Thanks for reaching out. I am here to help.
Edge’s built-in VPN is called Microsoft Edge Secure Network and isn’t available to everyone right away, even if you're on a new PC. If you don’t see the option on your device, it likely means the feature hasn’t rolled out to your account or region yet.
As of now, Edge Secure Network is in limited rollout. Microsoft is releasing it gradually based on region, user account type, and Edge version. And this is only available to personal Microsoft accounts and not work/school accounts.
You can check the official articles below for more details and instructions on how to enable it:
https://www.microsoft.com/edge/features/edge-secure-network-vpn?utm_source=chatgpt.com&form=MA13FJ
Note: Microsoft Edge Secure Network is a preview feature. Preview features are services that are in development and are made available on a "preview" basis so users can get early access and send us feedback.
Hope this helps. Please let me know if you still have questions, and I will be happy to help.
Cheers!