Final answer:
OS X 10.11 has built-in support for PPTP, L2TP, and IPSec VPN protocols. OpenVPN is not natively supported and requires third-party software. The correct answer to which VPN protocols OS X 10.11 supports built-in is D) PPTP, L2TP, and IPSec.
Step-by-step explanation:
OS X 10.11, or El Capitan, has built-in support for several VPN protocols. Specifically, the supported protocols are PPTP, L2TP, and IPSec. This means for OS X 10.11 users, setting up a VPN connection that relies on any of these protocols is straightforward, since they are integrated into the operating system. However, it's important to note that PPTP, being an older protocol, is less secure than L2TP and IPSec, and therefore its use is generally discouraged. On the other hand, OpenVPN is not supported out of the box in OS X 10.11 and would require third-party software to be installed. Consequently, the correct answer is D) PPTP, L2TP, and IPSec.