for further settings you can right click and click properties, then it is possible to difine extra messures for a more secure client for VPN's such as L2TP/Ipsec, PPTP, SSTP & IKEv2 and various other security setting and certificates.
as you already stated the protocols supported are L2TP/Ipsec, PPTP, SSTP & IKEv2, NOT openvpn.
so you need to use the provided client.
Michael.