I'm glad that you were able to resolve your issue and thank you for posting your solution so that others experiencing the same thing can easily reference this!
Since the Microsoft Q&A community has a policy that "The question author cannot accept their own answer. They can only accept answers by others", I'll repost your solution.
Please "Accept" the answer so that others in the community facing similar issues can easily find the solution.
Issue:
You were not able to Ping your P2S Client from Azure VM via VPN Gateway
Solution:
You disabled firewall settings, which resolved the issue.
Settings->Network->Firewall->Disable Privacy Mode
Thank you again for your time and patience throughout this issue.
Cheers,
Kapil.