Azure Force Tunneling – do not forget about this if you want to enable

$LocalGateway = Get-AzLocalNetworkGateway -Name “DefaultSiteHQ” -ResourceGroupName “ForcedTunneling”
$VirtualGateway = Get-AzVirtualNetworkGateway -Name “Gateway1” -ResourceGroupName “ForcedTunneling”
Set-AzVirtualNetworkGatewayDefaultSite -GatewayDefaultSite $LocalGateway -VirtualNetworkGateway $VirtualGateway

and finally add route table with 0.0.0.0/0 to Virtual Network Gateway.