This is for security reasons: If you looselose your phone with VPN set up, anyone can log into your network. Having a pin lock mitigates this threat.
If you happen to have CyanogenMod 7+ installed there's an option called Profiles. You can setup your default profile to have no screen lock at all (not even slide lock). That's the closest I got. Hint: This feature is for things like in car usage where you don't want a lock at all (using your phone while driving is illegal but people still do it).