Azure VPN Client: Support for http proxy settings
When using the Azure VPN Gateway for p2s-connections in connection with Azure AD authentication you are required to use the Azure VPN Client application.
This client does not allow the configuration of any proxy settings and does not seem to honor system wide proxy settings as well.
Because of this is the usability of the p2s-VPN-client is severely limited for enterprise users that usually do not have direct non-proxied internet access.
Please consider implementing additional settings in the azurevpnconfig.xml file you can use to configure the Azure VPN Client application.
As the client application probably does not re-implement the OpenVPN specification but is more of a wrapper around the native implementation this should not cause too much trouble as the OpenVPN reference implementation already allows connections through http proxies.