fbinotto Thank you for getting back to me, figured out that issue and was quite silly. I didn't open up IE initially to accept the security. Once I did that I was able to continue. Completed though the steps and now I'm researching the following error. Just curious if others had to change anything on their home router if if ISP is blocking. I have dual WAN at home on 2 different ISPs so I may end up trying my Passive ISP.
RoutingDomainID- {00000000-0000-0000-0000-000000000000}: A Demand Dial connection to the remote interface Azure on port VPN3-3 was successfully initiated but failed to complete successfully because of the following error: The network connection between your computer and the VPN server could not be established because the remote server is not responding. This could be because one of the network devices (e.g, firewalls, NAT, routers, etc) between your computer and the remote server is not configured to allow VPN connections. Please contact your Administrator or your service provider to determine which device may be causing the problem.