Azure vpn error A certificate could not be found that can be used with this Extensible Authentication Protocol. (Error 798)

I am creating a VPN in Azure, and created self-signed certificate in the following places:

Local Computer:
Personal/Certificates: Issued To: FQDN name is the certificate's name
Trusted Root Certification Authorities/Certificates:
manually copied from Personal

I have configured the VPN in Azure and it is downloaded and extracted and the vpn client is installed successfully, however, when I run the client I received the following error:

A certificate could not be found that can be used with this Extensible
Authentication Protocol. (Error 798)

Screenshot:

The error seems suggesting the certificate is NOT found, does the name matter?

Should I change the cert's name from Azurecert to FQDN which is the name in my local computer?

Thank you for your help in advance.

UPDATE:
I removed the existing certification in Azure's configuration and re-added back with the same FQDN name shown in local computer's certificates, I redownloaded the client, I removed the existing installed vpn client and re-installed the new one, I receive the same error message. So it seems name is not the root cause?

UPDATE2:

The procedure I've followed:

1. Create Self Signed Certificate with the FQDN name on local laptop;

   New-SelfSignedCertificate –DnsName NV-RXIE.novantas.pri -CertStoreLocation “cert:\LocalMachine\My”

2. Add the self-signed certificate as a trusted certificate authority, Copy the new cert to Trusted Root Certificate Authorities

3. export the cert and open it, copy the cert part and paste into the
   VPN setting – Root certificates, Public Certificate Data

4. Download the VPN client and install it on laptop, run it

5. Connect, failed with:

A certificate could not be found that can be used with this Extensible
Authentication Protocol. (Error 798)