Welcome to the Microsoft Q&A Platform. Thank you for reaching out & I hope you are doing well.
Please note that Azure VPN Client is used to establish a P2S Connection to Azure Vnet via Azure VPN Gateway
You do not have to configure the scripts manually, instead, you can download a configuration file from the Portal.
You can find the client OS supported Tunnel type and How to Articles here
Please do let me know if you require further information or looking for a different scenario here.
Cheers,
Kapil