Default Debian installation does not include VPN support inside the Network Manager applet. The reason behind this decision is probably the variety of available solutions.
OpenVPN
Install the following packages to provide support for OpenVPN
connections.
$ sudo apt-get install network-manager-openvpn network-manager-openvpn-gnome
IPsec with the IKEv2 key exchange protocol (strongswan)
Install the following packages to provide support for IPsec/IKEv2
connections.
$ sudo apt-get install network-manager-strongswan
Cisco AnyConnect compatible VPN (openconnect)
Install the following packages to provide support for Cisco AnyConnect SSL VPN
connections.
$ sudo apt-get install network-manager-openconnect \ network-manager-openconnect-gnome
Point-to-Point Tunneling Protocol (PPTP)
Install the following packages to provide support for Point-to-Point VPN
connections.
$ sudo apt-get install network-manager-pptp \ network-manager-pptp-gnome
Cisco Compatible VPN (vpnc)
Install the following packages to provide support for IPSec-based VPN (Cisco, Juniper, Netscreen and Sonicwall)
connections.
$ sudo apt-get install network-manager-vpnc \ network-manager-vpnc-gnome
Ending notes
The following image presents the whole list of supported VPN connections.