Hey Joni Nieminen
Greetings,
Thank you for reaching out to us on the Microsoft Q&A forum.
As an original poster cannot accept their own answer, I am reposting it so that you can accept it an answer. Accepted answer will help other community members navigate to the appropriate solutions.
Issue: Setup for Azure Firewall DNS Proxy & DNS Private Resolver
Solution: I found the root cause to be missing gateway route propagation on the VPN gateway, this was set to No/Disabled in the Bicep code which deploys the GatewaySubnet Route Table. Once I set the disableBgpRoutePropagation to false the connection started working as expected including the name resolution.
Please don’t forget to close the thread by clicking "Accept the answer" wherever the information helps you, as this can be beneficial to other community members.
Your contribution is greatly appreciated.
Regards,
Ganesh