iPhone feature is now available on Phone Link Apps.

Microsoft Phone Link is an app that allows you to sync your phone with your computer. With this app, you can stay connected and sync across your smartphone and PC to text, access mobile apps, and pick up where you left off on your most recent projects.

This pictures, show the final steps before start using the Phone Link with my iPhone 

How to get access to this feature? 
You must update your system to get access to the preview features. The preview will begin rolling out to Insiders who have opted in their device into one of the 3 Insider Channels via Settings > Windows Update > Windows Insider Program.
How to enroll your device into Windows Insider Program: 
https://youtu.be/bj_fyuiFPUM