Hi Senc, could you confirm that you have followed the guides for P2S VPN set up and certificate generation?
First you need to follow this guide:
It tells you how to self-generate a cert for your P2sS VPN and how to upload it.
Specific details on cert generation with PowerShell here: https://learn.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-certificates-point-to-site
Once you have followed all of this you will probably need one of the guides below depending on your authentication method:
Azure AD Authentication: