Hi,
I would suggest you to go with the Azure VPN based solution as it come with high availability and Microsoft manages this gateway which includes the patching, upgrade, etc.
From the cost perspective, traffic in and out is paid on both the cases. If you use appliance, then you will not require VPN gateway. Similarly, if you don't use the VPN, you will be using the PA appliance for which you will be paying the VM per hour cost.
Regards,
Karthik Srinivas