There are a lot of tutorials out there that are for previous versions of Windows that say to right click on the VPN and choose properties, then select IPv4 and click properties. The problem is with Windows 10, at least for me, nothing happens when you click the properties button.
The way I have found to enable this functionality is via PowerShell.
Start PowerShell as an administrator then run Get-VpnConnection
Next run Set-VpnConnection –Name MY_VPN_NAME –SplitTunneling $true
Replace MY_VPN_NAME with the name of your VPN connection.