VPN Site-to-Site connection between Azure VPN Gateway and pfSense: Important Details

When implementing an IaaS solution on Azure for, let's say, hosting a web application, it is important to have a controlled secure access to the Azure network from the office site in order to limit an exposure of the Azure virtual machines to the public Internet and prevent unauthorized access to the Azure network resources. Standard solution for this requirement is a site-to-site VPN that allows continuous encrypted connection between two networks: a physical office network and a virtual network on Azure.