Same problem.
Dns is configured in the vnet
When connected, I see the server in powershell
Set the interface metric to 1
Is now in the ipconfig/all before the ethernet adapter.
route print still shows a larger metric number than the ethernet routes
nslookups work fine if I specific the dns server in the nslookup command
AzureVpnCxn.log shows the proper assigned DNS Server
ipconfig/all does not show dns for the vpn interface (as mentioned in the docs)
Windows version 10.0.17763.3287