Is there a way to setup an “always on” VPN on my device, such that it disallows any traffic to egress unless connected to the VPN?
The only way to configure this however is using the Apple Configurator tool and create a custom profile.
I run this for my OpenBSD IKEv2 servers which gives me automatic on-demand VPN on cellular and all non-known Wi-Fi networks (== not home).
'Activate on demand' is just a checkbox in WireGuard app settings on iOS, so apparently it's only the built-in VPN types that need Apple Configurator. Since IPSEC/IKEv2 are overengineered and L2TP is outdated, you're better off using wg anyway.