Is that possible to change PPTP VPN password on mac?
No.

To my knowledge, the native VPN client on Mac OS X does not have functionality for changing your password. There is some code in directory authentication that can do this, but in order to change a password used for VPN, you'll likely have to log into a web-based password utility that's bound to the directory the VPN is authenticating to.

Additionally, those ehow instructions are quite vague. It looks a little like the system is authenticating to a VPN at login, much like how OS X can authenticate to a directory service at login. Perhaps it is possible to connect to a VPN prior to login on Windows? On Mac, on the native client, this is not possible: VPN sessions happen AFTER a user has logged in.

Now, if your VPN is authenticating to a Directory Service used for login, it may be possible to change this password inside loginwindow (as changing your account password).