HI Andrew,
I assume you leveraging Azure VPN gateway for p2s.
Can you please let us know what is the type of azure gateway SKU and VPN type (like IKev2 ?)
also the windows 10 build number,
You can configure the Always On VPN client through PowerShell, Microsoft Endpoint Configuration Manager, or Intune. All three require an XML VPN profile to configure the appropriate VPN settings. But its all inteconnected with the type of VPN solution you currently use.
Also ensure the VM doesnt go to sleep mode. Because p2s VPNs are known to disconnection.