On windows 10, how do I setup a VPN client so that all users can use it (i.e. available before login)

Old question but for anyone trying to find an answer there is a better solution via elevated powershell:

Add-VpnConnection -Name MY_VPN_NAME -ServerAddress MY_VPN_SERVER -AllUserConnection $true -SplitTunneling $true -AuthenticationMethod MSChapv2 -TunnelType Automatic -EncryptionLevel Required -PassThru

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