Windows tries to use the client VPN credential to authenticate to remote resources by default.
Two solutions:
1. Setup RADIUS authentication using NPS so that you can log into the VPN using your Active Directory credential. This is my preferred solution wherever possible.
2. Edit your phonebook to force the VPN connection to use your AD credential. I usually do this with PowerShell, since I don't have any environments where a client needs to use not their Windows credential to authenticate to a server.
Step one: Open PowerShell ISE
Step two: If you don't see a white pane, hit CTRL + R to open it
Step three: Paste the following block into the white script pane, and run it:
$PbkPath = Join-Path $env:APPDATA 'Microsoft\Network\Connections\Pbk\rasphone.Pbk'
(Get-Content -path $PbkPath -Raw) -Replace 'UseRasCredentials=1','UseRasCredentials=0' | Set-Content -pat $PbkPath