Does Apple TV 4 have built in VPN client?

No, currently third-party developers are unable to implement VPN solutions on the new Apple TV as Apple has locked the networkextension APIs (at least in tvOS9). Golden Frog, who develop the popular iOS app VyprVPN, recently wrote about this: https://www.goldenfrog.com/blog/why-isnt-there-vyprvpn-app-for-apple-tv

Now that the unit has been released and users have started to explore the various settings there's been an interesting Developement in the last few days.

IF you go to SETTINGS - GENERAL - SOFTWARE UPDATE ---- while the UPDATE SOFTWARE option is highlighted - click the play/pause button (quickly) 4 times. At that point an "advanced settings" option will appear.

selecting that option you're brought to a screen with 10 options. The last being "LOAD VPN PROFILE"

that said, the option is not currently enabled. However, this doesn't mean that there isn't a way to load a profile via the "Apple configurator" app on OSX.

I do believe you're required to connect the box via the USB-C connector. Currently, I do not personally own one of these connectors so I'm unable to test any further.

HAs has anyone else had any luck or further knowledge of how to access this function?

good news is....like the iOS counterparts (iPhone/iPad) it seems as though the ability is baked into the operating system itself.

This is good news.

Please do keep us updated!!

Cheers