Link: https://vpngate.net

/”Difference between /”Windows built-in/” VPN and third party software/”

The build in client in Windows doesn’t support OpenVPN, which is the most secure and reliable VPN protocol (no known serious vulnerabilities). PPTP is insecure, and L2TP is more secure than PPTP but slow and has none of the benefits of OpenVPN.
To get the best speeds as well as the best security you’d need to connect via OpenVPN UDP, which is why you’d need a third party app.
Third party apps for OpenVPN (OpenVPN GUI, Tunnelblick, Viscosity, VPN company apps etc) exist precisely because Windows doesn’t support OpenVPN. Neither does OS X.

The only operating systems supporting OpenVPN natively are Linux and BSD.

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