How to set up a site-to-site vpn between NSX in my lab and Azure: This setup uses the most basic option to connect NSX to Azure, using the basic SKU for the Virtual Network Gateway.
The trigger was that I wanted to know how to configure the VPN on the Azure site and to experiment with both on premises vm's and vm's in Azure. My network has a consumer grade router that did not have the right tools to setup a vpn to Azure (or I just did not get it to work).
On the NSX side, the blog from Cris Colotti helped a lot. It matches the capabilities of the basic Gateway in Azure perfectly. As the basic Gateway does not support BGP I setup static routes (Azure does this automagically) on my home router to the NSX Edge for the vNet in Azure.
A linux vm in Azure:
A traceroute from my desktop to the azure vm:
So, this is working well. But when using NSX and Azure, your networks are probably very dynamic. The next step will be to replace this site to site VPN setup with one not based on static routes but on BGP.