@Melissa Ray, Thanks for posting in Q&A. From your description, I know we set Intune enrollment policy to block personal device. For the new devices, when it connects to new Azure VPN, it is asked to register the device. Based as I know, For Windows device which join type is Microsoft Entra registered, it is considered as personal device. This can be the reason which it is blocked I think.
If this is a corporate managed device. You can firstly enroll it into Intune as corporate device to make it as Microsoft Entra joined type in Microsoft Entra ID. Then try to connect the new Azure VPN to see if it works.
https://learn.microsoft.com/en-us/mem/intune/fundamentals/deployment-guide-enrollment-windows
Hope the above information can help.
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.