Not entirely true, but the feature's availability does depend on the ROM used. Official LineageOS builds support this starting from around version 16-17 (Android 9-10) (Connection > Hotspot and Tethering > Allow clients to use VPN). Inofficial LineageOS builds from XDA or 4PDA and stock/original ROMs from the manufacturers are a tedious hit and miss, but maybe it's more or less widely implemented with Android 11 or 12, who knows.