By default , vpn is not configure in Kali Linux. If u want to connect vpn in kali linux , first install pptp and network openvpn in kali linux using apt-get install.
Commands :
apt-get install network-manager-openvpn-gnome
apt-get install network-manager-pptp
apt-get install network-manager-pptp-gnome
apt-get install network-manager-strongswan
apt-get install network-manager-vpnc
apt-get install network-manager-vpnc-gnome
/etc/init.d/network-manager restart
Kali Linux forum : http://adf.ly/L6fmv