If you want to create a company like infrastruture on Azure you could expect to create a VPN to have a secured access to it and have an internal lan to protect you servers against external access. Basically the system provides all that you need but, as usual in the closed world of MicroSoft. The VPN server based on SSTP protocol sound hard and not documented to be used with MacOsX or Linux.
I’ll describe in this post how I fixed this issue par using an OpenVpn gateway server.