Hi @izaacg,
I've configured per-app VPN for iOS devices managed by Intune earlier, and yes, it works. I haven't configured Intune part myself, but I believe there are relevant articles to be found.
You can check this video guide (it uses Meraki MDM, but concepts are the same), and this Microsoft article.
For smooth user experience, certificate based authentication must be used, as in that scenario, authentication can happen without user interaction.
BR,
Milos