Thank you so much for your hint.
When I searched for "FortiClient" in the Microsoft Store, I found that App and I installed it. After the Installing process there is a white App with only a notice with some information, when you opened it in the Windows Start Menu. The Header is called: "FortiClient v1.0.1041".
To Configure the App, I open the Settings and searched for 'VPN Settings'. There I click on 'Add VPN' and add the Name, url:port, the Name and the Passphrase. We have no certificate in my Company. After that I select in VPN Provider the FortiClient. I enabled the "Remember my sign-in info".
There is no Client on the Taskbar or anything else.
When I connect with my ARM-Windows on my M1 Mac, hosted from Parallels Desktop, with the VPN from my Company, I have to go to Settings -> Network & internet -> VPN and click on the Connect-Button.