Hi there
I got a ticket recently to push Azure Point-to-Site VPN cilent using GPO (Group Policy Objects) and got this successful by doing the following:
Configure Azure Point-to-Site VPN
Download Azure Point-to-Site VPN client executable from https://portal.azure.com
Download PS1-To-Exe
Download Winrar
Decompress the Azure Point-to-Site VPN client to c:\temp\azurevpnclient\ folder
Copy the setup-vpn.ps1 file to c:\temp\azurevpnclient\ folder
Run the PS1-To-Exe and search for the setup-vpn.ps1 at the c:\temp\azurevpnclient\ folder and follow the Wizard until you complete this step
Now you have the setupazurevpn.exe file at c:\temp\azurevpnclient\
Create 02 GPOs in ADDS (Active Directory Domain Services)
GPO #1 Name: Push-AzureVPNClient
this GPO will push the azure VPN client setup file silently to computers – file created on step 7 above
GPO #2 Name: Push-AzureVPNPFXfile
this GPO will push the azure PFX file silently to users with the self-signed SSL certificate used on step 1 above
on my LAB I used one single GPO to push both the SSL certificate and the Azure VPN client

Tip: This same custom deployment can be pushed by SCCM CB (System Center Configurations Manger Current Branch)
Attention: This custom deployment is not supported by Microsoft.
References
https://azure.microsoft.com/en-ca/services/vpn-gateway/