From Piszczynski

Setup Routing

Run the following commands on server to enable routing role

Install-WindowsFeature RemoteAccess -IncludeManagementTools
Install-WindowsFeature -Name Routing -IncludeManagementTools -IncludeAllSubFeature
Install-WindowsFeature -Name "RSAT-RemoteAccess-Powershell"
Install-RemoteAccess -VpnType RoutingOnly
Get-NetAdapter | Set-NetIPInterface -Forwarding Enabled

Azure DNS for Files

For Azure file share you will need to enable DNS forwarding for the file share to be found:

Configure DNS forwarding for azure file shares