Hi JC,
You do not need any Azure route table here.
Does your Azure VM is in the same Vnet of your VPN Gateway or in another one?
If it's in another one make sure both vnet are peered together with the following options:
- The option Allow gateway transit is set to true on the VPN Gateway peering
- The option Use remote gateways is set to true on the VM Vnet peering
James