Just ran into this issue when I created a P2S VPN on my Azure Virtual Network – I downloaded the client and connected ok, but I realized I could only connect to my servers via IP, not by FQDN.
Checking my local IP settings, I realized that the DNS Server on my VPN connection was set to a public DNS server and not my Domain Controller / DNS server in Azure.
This wasn’t completely unexpected, because when I created the vnet I used Google DNS, and then I went back to the settings and changed it later once I had my DC set up.
It turns out that when you download the P2S VPN client from the Azure portal, it’s not really a client in the traditional sense (like the Cisco AnyConnect client) – it’s actually a number of config files that get installed to %appdata%MicrosoftNetworkConnectionsCmconnection-name.
You can try editing the phonebook file as I’ve seen suggested around the web, but I don’t really like that solution – in order for this to work, you need to dial through the phonebook (pbk) file, and not just through the built in Windows VPN connection.
The answer, thankfully, is simple – just remove that VPN client and re-download the P2S VPN client from the Azure portal. Install it on your PC as before, and you’re good to go:
All better now!
Master & CmdR 
How did you get NetBIOS over Tcpip to be enabled?
LikeLike
Hey Doug,
I didn’t really do anything, I just created the Virtual Network Gateway using the default settings and it was enabled… I’m guessing that you’re doing the same thing and it’s disabled now? I’ll try creating another one and see if I experience the same issue.
LikeLike
10.254.1.5 is your DNS VM IP that you setup inside your vNET?
LikeLike
Yep, exactly – that’s my internal DNS running on a Domain Controller.
LikeLike