DNS on VPN does not work

I have an Azure Point-to-Site VPN over IKEv2 configured and it works well. The problem is with DNS.

1. DNS adresses are filled in Advanced tab of the VPN connection but it does not resolve anything.
2. The DNS server is not listed with command scutil --dns
3. The VPN connection is not present at output of command scutil --nc list nor with scutil --nwi
4. I cannot see the VPN connection entry even on the "Set service order" option in Network settings, viz screenshot below (...how humiliating!)

What is going on? What should I do to make it work?

OS X version 10.14.4 (18E226)

ad 2) scutil --dns

DNS configuration

resolver #1
  nameserver[0] : 192.168.1.1
  if_index : 5 (en0)
  flags    : Request A records
  reach    : 0x00020002 (Reachable,Directly Reachable Address)

resolver #2
  domain   : local
  options  : mdns
  timeout  : 5
  flags    : Request A records
  reach    : 0x00000000 (Not Reachable)
  order    : 300000

(and many other "local mdns")

ad 3) scutil --nc list

Available network connection services in the current set (*=enabled):
(nothing)

scutil --nwi

Network information

IPv4 network interface information
     en0 : flags      : 0x5 (IPv4,DNS)
           address    : 192.168.1.102
           reach      : 0x00000002 (Reachable)

   REACH : flags 0x00000002 (Reachable)

IPv6 network interface information
   No IPv6 states found


   REACH : flags 0x00000000 (Not Reachable)

Network interfaces: en0 ipsec0

4) Humiliating inconsistence

Looks like the Vnet Gateway needs to "push" the DNS server as well. See the following link for more details of how i got it to work with macOS 10.15.4 and Azure Point-to-site

https://stackoverflow.com/questions/51615301/approach-for-private-dns-when-using-point-to-site-with-azure-vpn-gateway/60870856#60870856