Hello Greg,
To access the WAC by using the local IP address, you should be connected on the VPN (assuming you have a vpn connection with your Azure network). If you try to access the WAC from a different network, you should use a public IP address instead.
If you want to do a test, open the Azure portal inside the VM and try to connect WAC again (as you have access to the local Azure network, it should work this time).
;)