I opened a ticket with MS and received the same info from 3 different Techs, which was set DNS for Azure VPN, I never talked to anyone that understood my issue. My solution for Windows clients was to push a Scheduled task and PowerShell Script with Group Policy. The scheduled task runs as system whenever Azure VPN client connects, event 20225 in Application log under RASClient. It triggers the following script to search the interfaces registry section and find the one that matches my Azure VPN IP address (see match "10.xxx.x", change to your Azure VPN IP), then updates the registry with the correct information to allow registration, then does a DNS register. Here is what I have: (Just add your DNS server IP's and change domain to match your environment.
cd HKLM:\SYSTEM\CurrentControlSet\Services\Tcpip\Parameters\Interfaces
$path = gci . -rec -ea SilentlyContinue | % { if((get-itemproperty -Path $.PsPath) -match "10.xxx.x") { $.PsPath -split ":"} }
$RegPath = $path.split()[-1]
cd \
Set-ItemProperty -Path "$RegPath" -Name "NameServer" -Value "10.xxx.xxx.xx,10.xxx.xxx.xx"
Set-ItemProperty -Path "$RegPath" -Name "Domain" -Value "domain.com"
Set-ItemProperty -Path "$RegPath" -Name "RegisterAdapterName" -Value "1"
Set-ItemProperty -Path "$RegPath" -Name "RegistrationEnabled" -Value "1"
Register-DnsClient