Hello @Dallen Lord ,
As stated by yourself, per Windows 10 Native VPN API (Modern/Metro apps) – Cisco Umbrella, and Umbrella Roaming Client: Compatibility Guide for Software and VPNs – Cisco Umbrella, the Azure VPN Client would not let you connect to Azure VNET while Umbrella Roaming Client is installed and active. While I understand that there is some ground for Windows UWP apps to cover, note that the additional steps are only required when Umbrella Roaming Client is installed. It is also noteworthy that Azure is just an infrastructure provider and we do not directly provide any help with non-Azure infrastructure related products (including Umbrella and Windows). With IaaS, it is up to the tenant on how to utilize the infra. We would strongly recommend you putting up a feedback from Windows Store about it and hopefully you get some traction.
Hence, the only workaround available at this time would be to use other VPN clients like AnyConnect where we are not seeing this issue. Another suggestion would be to check the Azure VPN Client that can be downloaded from Azure VPN Gateway blade in Azure Portal and tweak it’s settings by making changes at %appdata%\Microsoft\Network\Connections\Cm location. Please review this blog for a reference on how to create a native/custom P2S client for Azure. Let’s consider Windows just as any other OS without a built-in app, that can use stock VPN connectors, and not be confined to UWP apps.
Kindly let us know if the above helps or you need further assistance on this issue.
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