iPhone not connecting to VPN Server on set up on Windows 2016, but works on Windows Computers. What could be the problem?
Obligatory unhelpful “blame windows” response. 
More seriously, try both the “private address” (which someone else has already suggested) and iCloud private relay settings. There’s also a nonzero chance it simply doesn’t accept whatever security Server 2016 is trying to use, it’s not uncommon for devices to simply drop support for older encryption methods without actually telling the user.
So I set up a VPN server myself, on a Windows Server 2016 instance. Settings are in the 3rd screenshot. Now my problem is, Windows computers connect to this VPN server perfectly, no problems at all, but iPhones just refuse to connect. And iPhones don’t tell me what the problem is.
Any ideas on what could be causing this issue? Thanks!
You’re actually right! I looked it up, and here’s the problem -
I set up Windows 2016 without bothering to mess with the certificates, and it worked! Since Windows VPN has an automatic setting that figures out what protocol works.
Windows 2016 by default supports a ton of different protocols, but with some of them, you need to do some additional setup.
On my Windows laptop, it picked PPTP to connect to the VPN server. And it works perfectly. But iPhones no longer support that protocol.
So now I need to add a certificate to support IKEv2 on the windows server.
I’m guessing it is ths Private Address setting. We have that issue in house with our corporate Wi-Fi.
Turn a private address off for a network
Go to Settings > Wi-Fi, then tap the Settings button for a network.
Turn Private Address off.