I have managed to resolve it as we found out that the Fortinet firewall need a inter-domain routing that was not specified.
To help others the setup in Azure Stack HCI was the following:
Virtual Network in "West Europe"
Address Space 10.1.0.0/16
Subnets FrontEnd 10.1.0.0/24; GatewaySubnet 10.1.255.0/27; AzureBastionSubnet 10.1.1.0/26
Virtual Network Gateway
SKU: VpnGw2
GatewaySubnet 10.1.255.0/27
VPN Type: Route-based
No BGP enabled
Local Network Gateway
The virtual networks in Azure Stack HCI have the 10.10.1.0/25 address space and is added to the local network gateway.
If there are challenges it's probably the firewall configuration rather than the Azure configuration.
Address Space 10.10.1.0/25; 10.10.1.148/32
Connections
The SITE-TO-SITE VPN is configured and up and running using a IP sec connection with a shared key (PSK).
The Virtual Network defined in the HCI is only 10.10.1.0/25 but not the 10.10.1.148.