A VPN option appeared in my iOS 11.4.1. Is this a free service from Apple?

If you went to Settings > VPN, and you enabled it, it would mean that you do have some VPN app running on your iPhone. Otherwise, it would fail to get enabled if no such app existed on the device.

This would also mean that any communications on this device will be going through that VPN connection to, what it seems at this point, an unknown VPN service. Again, this is NOT an Apple provided VPN service. You will need to review each of the apps on your device to see if any of them look unfamiliar. In the mean time, I would disable VPN until you are sure of who is providing the service.

Not exactly. The VPN option allows you to create a VPN connection to a known VPN service. This service is NOT provided by Apple. For example, if you work for a company remotely and they provide VPN connectivity to their corporate network, you would create a VPN connection from your iPhone to their VPN server using this option.