romanmensch, I think you are seeing the opposite of us where our clients work on the internet and not on the intranet.
We are noticing that when the client is in intranet mode ( on VPN ), we see in our SCClient logs that the configuration manager client is trying to use windows authentication to the CMG which fails.
Using endpoint Url: https://XXXXXXXX.CLOUDAPP.NET/CCM_Proxy_MutualAuth/XXXXXXXX:443/CMUserService_WindowsAuth, Windows authentication (Microsoft.SoftwareCenter.Client.Data.ACDataSource+<>c at <RefreshLocalSettingsAsync>b__16_0)
When in Internet mode, we see the configuration manager client using AAD auth to the CMG which succeeds.
Using endpoint Url: https://XXXXXXXX.CLOUDAPP.NET/CCM_Proxy_ServerAuth/XXXXXXXX/CMUserService, AAD authentication (Microsoft.SoftwareCenter.Client.Data.ACDataSource+<>c at <RefreshLocalSettingsAsync>b__16_0)
We are still working with support on this issue.