I've tested this issue.

Steps performed:

1. New Azure VPN config downloaded from the Azure Portal VPN Gateway P2S (doesn't work)

2. Checking of ipconfig /all , route print, tracert, nslookup, test-netconnection, telnet, wifi/wired interfaces settings (all checked, no issues)

3. The problem is somehow related to the the Microsoft EDGE web browser DNS settings. When open Microsoft EDGE -> Settings -> search for "dns" -> look for "Use secure DNS to specify how to lookup the network address for websites". By default there is a settings set "Use current service provider". To solve the case and have the internet connection while on Azure VPN select "Choose a service provider", click in the empty field below and select e.g. "Cloudflare (1.1.1.1)". It will appear as "https://chrome.cloudflare-dns.com/dns-query". Screens attached. Then reboot the web browser - Microsoft Edge - and the internet will start to work right away.

Security info: In this Cloudflare DNS is used to resolve your DNS queries. If you do not want to do that try with your own DNS servers or other DNS you prefer in this step.

NOTE: If this will help you feel free to leave short comment or just share this to other that have such issue.

In case of questions feel free to let me know via comments as well.

Best regards,

Tomasz Wieczorkowski