Yes, Windows 10 and Windows 11 have built-in VPN clients, but they come with many limitations, especially when compared to the above-mentioned VPNs. For a start, you won't have as many server options to choose from, and the servers you'll get will be the less secure, third-party servers. Advanced security features, such as a kill-switch, obfuscation (stealth servers), and malware protection are not included. Besides, Windows 10 and Windows 11 built-in VPN clients are more difficult to set up (and use) than regular VPNs. If you're not a tech-savvy person, you might even need to call a technician to help you get things going, or invest a considerable amount of time until you figure out how to set up the VPN client manually. Switching between servers requires manual tinkering with the software too. All in all, a lot of hustle for a lacking service suitable only for a handful of your online activities.