Meet The Microsoft Edge Secure Network
A paper which Ars Technica spotted indicates plans Microsoft has to add a VPN to Edge sometime in the near future. The VPN is provided by Cloudflare and is limited to 1GB per month of traffic; there does not seem to be an option to add additional data. When it is rolled out, you will need to make sure you are signed into Edge with a Microsoft account in order to find it.
The limit means this is no replacement for a proper VPN service, but it could be handy for those that do not have another VPN subscription and find themselves on a public WiFi network. As long as you limit your usage, you can use it to ensure at least some level of security when you are out and about.
There is no timeline for when Microsoft will add a VPN to Edge so keep your eyes peeled if this is something you might want to try out.