I worked with a customer today on a new Azure VPN setup. Had some issues, too, band the customer had the Windows firewall policy on the Azure VM not allowing some traffic in and out. They did have some NSGs in place, too, which had to be adjusted.
Another item was missing a subnet on the Azure side VPN “local network gateway”. This may not be your issue tho.
I also had their vpn community tunnel management set to “one tunnel per subnet pair” rather than universal tunnels. I wasn’t sure how they had their Azure side configured.
I hope some of this helps. Good luck with it!