Have you found resolution to this post? One thing I had a question about was your Azure network - are you using the Classic or Resource Management deployment models. If I understand it correctly, the Classic networks communicate with Virtual Network Gateways using IKEv1 where the Resource Management networks require IKEv2. One post in the forum suggests that IKEv2 support won't be seen until the next major firmware version release (7.1.0). We are currently at 7.0.1.
What I am seeing here, is that many of you are already connecting to Azure with version 7.0.1 - but with issues. Might the IKEv issue be of interest here?
I would very much like to establish a viable gateway from my on-prem network to my cloud virt network using the IKEv2 protocol.