I started messing with this about a year and a half ago and quickly realized that building these VPN's by hand will cause issues. I wrote a script that creates a vnet in azure, creates the VNG, sets BGP on, and a few other nifty things, and then spits out the exact commands needed to be run in clish on the firewall and also the information for the policy. I hope to script this later on when we get to R80.10, but for now it works. BGP works fine, and then I have some route-maps to distribute my routes into my OSPF network and done!
I can't suggest enough to have standard IP ranges, BGP AS numbers, and names. If you do that, then you can script this and save yourself a lot of time every time you have to build a new network in Azure.