do any of the watchguard vpn do auto connect so a bit like how the always on vpn connection works on windows 10?
None of the WatchGuard VPN clients will auto-connect, as they all require you to authenticate. Once connected, all have an auto-reconnect feature, that would effectively keep the connection online.
The Premium WatchGuard IPSec client (powered by NCP) supports being able to connect to the VPN before logging onto windows, but still requires that you authenticate.
The IKEv2 and L2TP VPNs use the built in windows VPN clients, and you may be able to script/configure them in a way to allow this.
WatchGuard Customer Support