Make sure your custom DNS settings are in the right place (see this article for reference: add-custom-dns-servers-and-set-azure-point-to-site-vpn-to-connect-automatically
Then remove the VPN from your Azure VPN client, and re-import with the new config - it has to be reimported to import the new settings - including the DNS settings, if these changes are made AFTER you have already imported the VPN - it will continue to use the old configuration.