OK, you use your built in vpn client... to connect to what? For work, you connect there, but that's because your employer pays to keep up and maintain a device that is the other end of the tunnel. If you don't use it for work, who is providing you the connection point on the other end? That is where express VPN steps in. And they create their own client to give a user friendly interface to it.
In simplest terms, a VPN is a tunnel, with two distinct endpoints. You have one on your device, someone has to have the other end. With a VPN provider, you are paying them to maintain that other end for you. You are also, hypothetically, paying them to maintain good firewall and data hygiene on their end, as well as ensuring your privacy.