I have a site-to-site VPN from my on-premises network (172.16.96.0/24) to my Windows Azure virtual network (10.0.96.0/24). On Windows Azure, I have a SUSE VM and a Server 2012 VM, which can be accessed from my on-premises network using their internal virtual network IP addresses. However, I cannot access the internet from either of these virtual machines. This seems like something really obvious which I'm completely missing.
The default gateway obtained from DHCP is 10.0.96.1, but nothing actually lives there. Am I supposed to manually create a VM to act as a gateway/firewall and assign it an IP address of 10.0.96.1?