This is surprising!! You can not configure two IPsec tunnels on two ISP since Check Point will not accept. You can define VPN listening interface and then configure the tunnel. However you can define multiple tunnels from same IP to two different Azure instances and then configure BGP over IPsec.
I tried this multiple times since Check Point does not accept the tunnels on different interfaces hence I had to accommodate different solution and introduce router where tunnels are terminated and then configured BGP.
May be try running BGP traces however my gut feeling is - This is purely a IPsec issue since the peer goes into Active State in sometime.
What is the ouput of show bgp paths
show route bgp
show bgp peer <FIRsTPEER> advertise
show bgp peer <secondPEER> advertise
show bgp peer <FIRsTPEER> received
show bgp peer <secondPEER> received
Thanks and Regards,
Blason R
CCSA,CCSE,CCCS