Thank you for reaching out.
As the constant PsPing do not get dropped, this can be a false positive alert.
In order to determine the exact cause, you can try to run a packet capture on you on-prem VPN router and on Azure VPN which can help you get an idea if anything is causing this issue.
You can follow this documentation to set-up a packet capture on Azure VPN gateway.
Regarding the health alerts, can you share more information on their set-up as that can help us understand why they were not triggered.
Please me know if you any additional questions. Thanks!
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