Welcome to the Microsoft Q&A Platform. Thank you for reaching out & I hope you are doing well.
I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this!
Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others", I'll repost your solution and I would request you to please "Accept" the answer as this can be beneficial to other community members.
Issue:
Azure VPN Client MacOS error: Unexpected server response
Solution:
Update the P2S VPN Client app from the App Store
Cheers,
Kapil