Thank you krutibasa majhi for sharing more details. From the screenshot provided, it shows that you are unable to establish the connection to azure VPN infrastructure.
Have you entered the credentials in the below step correctly?
VPN connection found failed, after the above step. Make sure that you are entering the credentials correctly
It's a good idea to check the diagnostic logs as indicated in the below article
You can also try to 'Remove' and re-create the vpn profile once smore
Also, the following command can be used to un-install the vpn client. After the un-installation, you can try re-installing again and try if it helps!
sudo apt remove microsoft-azurevpnclient
Hope this helps.
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