I have 20+ site-site VPN's from MX67's, MX84's, MS85's to Native Azure VPN and they all work without any issues.
I assume you have ticked the local subnets that you want to allow access to nothing is blocked in your Site-to-site outbound rules (although they will only apply to traffic from your MX to Azure?
If thats all ok then it sounds like an issue at the Azure end which is beyond my expertise 🙂