Thanks for posting your question in the Microsoft Q&A forum.
These regions are geographically close to Colorado and will provide the best performance and latency for your VPN connection. you can choose either "US West 2" or "US West 3" based on the availability and capacity in those regions.
When creating a VM, Azure allows you to select the Availability Zones, which are physically separate locations within an Azure region. choosing multiple Availability Zones, can provide higher availability and fault tolerance for your VM. however, for a simple VPN setup, you can select a single Availability Zone ( Zone 1) as it should be sufficient.
In the networking section, the "Load balancing" option is used to distribute traffic across multiple VMs or services. for a single VPN VM, you don't necessarily need to configure load balancing. you can leave the load balancing setting as "No"
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