VPN is not installed by default in Kali Linux; here are the 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