Hi Roy,
Yes and No. Let me explain.
Today we use an API to talk to Azure/InTune we refer to as the NAC API V1.2, this API is what we've used for the past 4+ years. Under this API the more advanced and traditional features available from other UEM/MDM's such as Wipe/Lock is not available.
Now to the better news, and great timing by the way.....last week we discussed a number of changes with M/Soft on a number of subjects and one of them was to move to using whats commonly called the GraphAPI, this provides for a vast number of new features which will include remote Lock / Wipe.