I am with a customer this week, building a test Azure Network+IaaS/Azure AD/Office 365 environment. We struggled to get the site-site VPN connection up for a while and there wasn’t a great deal on the greater internet to help, save for a couple of posts in a discussion forum by the marvellous Marcus Robinson. We finally got it working when we found a tech note from SonicWall, published just a few days ago on the 7th October.
It turns out that we had created a gateway on Azure that used dynamic routing (I had a working lab environment using Server 2012 RRAS done that way). In SonicWall terms, that is not a site-site VPN and as we had configured appliance for one of those were completely adrift. When we deleted the Azure gateway and created a static routing one everything worked.
For anyone embarking down this road with a SonicWall device I can report that when we followed the instructions everything appeared to connect just fine. The tech note is available on the SonicWall site for all to enjoy.