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In a point-to-site (P2S) VPN configuration, clients should not be able to directly communicate with one another.
Network Security Groups: While NSGs can control traffic to and from Azure resources, they do not apply to P2S VPN clients directly. NSGs are typically used for controlling traffic to Azure resources like VMs, not for controlling traffic between VPN clients.
NOTE: Yes, you are correct as per the documentation, VPN clients connected in point-to-site to the same VPN gateway can't communicate with each other.
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Regards,
Ganesh