Windows 10 L2TP Error: The L2TP connection attempt failed because security policy for the connection was not found.
For Windows Vista, 7, 8, 10, and 2008 Server: HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Services\PolicyAgent
RegValue: AssumeUDPEncapsulationContextOnSendRule
Type: DWORD
Data Value: 2
Note that after creating this key you will need to reboot the machine.
Solution found at Reddit.