Yes, especially if you have always on enabled. Related KB Article
If Always-On is disabled, or if Always-On is enabled and the Connect Failure Policy is open, the following message is displayed on each connection attempt:
The service provider in your current location is restricting access to the Internet. You need to log on with the service provider before you can establish a VPN session. You can try this by visiting any website with your browser.
The end user must perform captive portal remediation by meeting the requirements of the provider of the hotspot.
If Always-On is enabled and the connect failure policy is closed, captive portal remediation needs to be explicitly enabled.
If we open captive portal we open our company to a vulnerability. How so?
FWIW, always on VPN causes more trouble than it's worth most of the time.