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VPN to Sophos XG in Azure

I have Configured a XG VM in Azure and can connect through it for services that I have enabled. 

 

I am now faced with getting the VPN connection to work between our sophos SG firewall on prem and the Azure XG.

 

I have the SG initiating the VPN and on it's logs show

 

2018:10:19-16:10:54 hurontario pluto[15899]: "S_Memcoportal" #414: max number of retransmissions (2) reached STATE_MAIN_I3. Possible authentication failure: no acceptable response to our first encrypted message
2018:10:19-16:10:54 hurontario pluto[15899]: "S_Memcoportal" #414: starting keying attempt 415 of an unlimited number
2018:10:19-16:10:54 hurontario pluto[15899]: "S_Memcoportal" #415: initiating Main Mode to replace #414
2018:10:19-16:10:54 hurontario pluto[15899]: "S_Memcoportal" #415: received Vendor ID payload [XAUTH]
2018:10:19-16:10:54 hurontario pluto[15899]: "S_Memcoportal" #415: received Vendor ID payload [Dead Peer Detection]
2018:10:19-16:10:54 hurontario pluto[15899]: "S_Memcoportal" #415: ignoring Vendor ID payload [Cisco-Unity]
2018:10:19-16:10:54 hurontario pluto[15899]: "S_Memcoportal" #415: received Vendor ID payload [RFC 3947]
2018:10:19-16:10:54 hurontario pluto[15899]: "S_Memcoportal" #415: enabling possible NAT-traversal with method 3
2018:10:19-16:10:54 hurontario pluto[15899]: "S_Memcoportal" #415: NAT-Traversal: Result using RFC 3947: peer is NATed
2018:10:19-16:10:54 hurontario pluto[15899]: "S_Memcoportal" #415: ignoring informational payload, type AUTHENTICATION_FAILED
 
I have tried many options but I can't find any resource except for Sophos on-prem to Azure gateway. I would assume I don't need this with the Firewall in Azure.
 
Any help would be appreciated.
 


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