Last time I checked there is still no way to do this using the built-in configuration profiles which is a bit surprising as this is a common admin task for managed devices. However if you want the screen to auto-lock after x amount of minutes of inactivity on your Intune-managed Windows 10 devices you can use the below steps to create a custom configuration profile to achieve this.
Devices > Configuration Profiles > Create Profile
Choose Windows 10 and Later and Custom
Give your profile a name and click Next
Click Add to add OMA-URI setting
Populate the fields with the below values. You can change the value in minutes to anything you want. The below config will set the screen to lock automatically after 15 minutes of inactivity.
Name: Screen Lock Timeout (can be anything)
Description: Can be anything
Data Type: Integer
Save your custom config profile and assign to your device groups as normal.