This video goes over how to deploy an Azure VNet Gateway on an existing VNet and enable Point-to-Site (P2S) VPN connections using Azure AD to authenticate the client. A P2S connection allows clients to connect securely to an Azure Gateway and access resources on the private VNet. The video goes on to demonstrate how enable Multi-Factor Authentication with a Conditional Access policy or enforcing MFA per-user.
Azure P2S VPN with Certificate Authentication:
Link to Grant Admin Consent:
Azure AD User AD Configuration Settings Links
Source Link (Step 9)