Hi,
To confirm, you are referring to Azure VPN Gateway, correct? If you are referring to something else please let me know.
Azure VPN Gateway is for VPN connections and is not a web server. Since it is not a web server it does not send common security headers like you would expect a web server to send a browser, even though it does communicate over port 443.
Another common question people ask after performing a scan against VPN Gateway is the extra open ports. In regards to that, below is quote from VPN Gateway FAQ:
Why are certain ports opened on my virtual network gateway?
They're required for Azure infrastructure communication. They're protected (locked down) by Azure certificates. Without proper certificates, external entities, including the customers of those gateways, won't be able to cause any effect on those endpoints.A virtual network gateway is fundamentally a multi-homed device with one NIC tapping into the customer private network, and one NIC facing the public network. Azure infrastructure entities can't tap into customer private networks for compliance reasons, so they need to utilize public endpoints for infrastructure communication. The public endpoints are periodically scanned by Azure security audit.
VPN Gateway FAQ - Why are certain ports opened on my virtual network gateway?
https://learn.microsoft.com/en-us/azure/vpn-gateway/vpn-gateway-vpn-faq#gatewayports
Please click Accept Answer and upvote if the above was helpful.
Thanks.
-TP