@Max Aguilar I'm glad that you were able to resolve your issue and thank you for letting me know the solution achieved. I am posting the resolution here so that others experiencing the same thing can easily reference this!
Issue: You we unable to establish connectivity via S2S VPN Gateway, you had checked the Firewall on the VM and the NSG rules but still the connectivity was failing
Solution:
After further troubleshooting you were able to find the solution. At the end it was an issue with the fireware of the onsite firewall.
If you have any other questions or are still running into more issues, please let me know. Thank you again for your time and patience throughout this issue.
Please remember to "Accept Answer" if any answer/reply helped, so that others in the community facing similar issues can easily find the solution.