To enforce screen lock, Vanta requires a configuration to be created and requires every device to install this profile.
Procedure
Go to Computer
Select Configuration Profiles
Create a new configuration profile (or edit the existing one)
Go to log in Windows, select Options, and enable Start screen saver after
Go to Security and Privacy and enable Require Passcode to Unlock Screen
Save
Keep in Mind
If a configuration profile requires a passcode, check if it's also set to automatically start a screen saver. This can be set in the Login Window settings for Jamf Configuration Profiles: