I suspect the issue is that your test-connection is using the public endpoint for Azure Files so it is not trying to access over your VPN tunnel but instead routing over the Internet where your ISP is blocking it - you can maybe do a tracert to confirm.
You will need to make sure that you have a private endpoint in place and DNS forwarding configured to route over your VPN. Here's some guides for this:
https://learn.microsoft.com/en-us/azure/storage/files/storage-files-networking-dns
Once configured they yes, the port 445 issue will not apply as you have said.