I tested it in my lab and I encountered same issue with you.
Here are the steps how I solve this issue.
First, I perform a network capture on the Server side.
![Capture](https://i.stack.imgur.com/cg7nh.jpg)
I find that it is the server which wants to disconnect the session. And the error code is "STATUS_MORE_PROCESSING_REQUIRED", which means that additional authentication information is to be exchanged.
I suspect that the client is using the credential of the VPN to access the shared folder on server. So I create a VPN profile manually and set the UseRasCredentials to 0. The path of the PBK file is "%userprofile%\AppData\Roaming\Microsoft\Network\Connections\Pbk\rasphone.pbk".
Then my client is able to access the file share.
If it isn't your situation, you are also able to start troubleshooting by performing a network capture first.
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Update
To manually create a VPN profile, we need to find the host name of Azure network gateway. The host name is logged in the rasphone.pbk mentioned above. Note: we need to install the profile downloaded from the Azure first, so the configuration will be written to the rasphone.pbk.
Then, we just need to create a SSTP VPN profile with this hostname. The authentication method is "Microsoft:Smart Card or other certificate ---> Use a certificate on this computer".
Best Answer
I had this same problem: downloaded and installed the Azure Point-to-Site VPN, then no DNS servers. It turned out that I had not registered DNS servers in the network until after the package was installed, and DNS servers are not dynamic for Azure VPN clients. Once the network is completely set up, THEN download the VPN package and it should work just fine.