Enable File Sharing over Point-to-site Azure VPN
I tested it in my lab and I encountered same issue with you.
Here are the steps how I solve this issue.
First, I perform a network capture on the Server side.
I find that it is the server which wants to disconnect the session. And the error code is "STATUS_MORE_PROCESSING_REQUIRED", which means that additional authentication information is to be exchanged.
I suspect that the client is using the credential of the VPN to access the shared folder on server. So I create a VPN profile manually and set the UseRasCredentials to 0. The path of the PBK file is "%userprofile%\AppData\Roaming\Microsoft\Network\Connections\Pbk\rasphone.pbk".
Then my client is able to access the file share.
If it isn't your situation, you are also able to start troubleshooting by performing a network capture first.
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Update
To manually create a VPN profile, we need to find the host name of Azure network gateway. The host name is logged in the rasphone.pbk mentioned above. Note: we need to install the profile downloaded from the Azure first, so the configuration will be written to the rasphone.pbk.
Then, we just need to create a SSTP VPN profile with this hostname. The authentication method is "Microsoft:Smart Card or other certificate ---> Use a certificate on this computer".
The following key did the trick for me [HKEY_LOCAL_MACHINE\SYSTEM\CurrentControlSet\Control\Lsa]
"disabledomaincreds"=dword:00000001