Q. I am having trouble with my site-to-site VPN connection to Azure, what should I do?
A. The Azure side of the site-to-site VPN is a software based VPN that has no configurable options and every gateway deployment is the same which means if you are having a problem with connecting it is almost certainly a problem on your side of the configuration. Use https://msdn.microsoft.com/en-us/library/azure/jj156075.aspx to check and recheck your side of the configuration. If you have checked and it still does not work then check again. In my experience 100% of problems with site-to-site VPN has been caused by a misconfiguration on the customer side of the VPN. One item that may help you is to use WFP logs on the Azure gateway VM which can be enabled via the Microsoft Azure Virtual Network Troubleshooter package which is available from https://home.diagnostics.support.microsoft.com/SelfHelp?knowledgebaseArticleFilter=2996010.