DNS on VPN does not work
Looks like the Vnet Gateway needs to "push" the DNS server as well. See the following link for more details of how i got it to work with macOS 10.15.4 and Azure Point-to-site

https://stackoverflow.com/questions/51615301/approach-for-private-dns-when-using-point-to-site-with-azure-vpn-gateway/60870856#60870856