VNet-to-VNet connection can not be established

Hi there, I followed this article: https://azure.microsoft.com/en-us/documentation/articles/vpn-gateway-vnet-vnet-rm-ps/

At the end, creating the Connection between both Vnet, I receive following error.

##I used this command:

New-AzureRmVirtualNetworkGatewayConnection -Name LegacytoExchange -ResourceGroupName RG-Legacy -
VirtualNetworkGateway1 $vnet1gw -VirtualNetworkGateway2 $vnet4gw -Location "West Europe" -ConnectionType Vnet2Vnet -SharedKey 'AzureA1b2C3' -Verbose

##I get this error:

New-AzureRmVirtualNetworkGatewayConnection : Long running operation failed with status 'Failed'.
In Zeile:1 Zeichen:1
+ New-AzureRmVirtualNetworkGatewayConnection -Name LegacytoExchange -Re ...
+ ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
    + CategoryInfo          : CloseError: (:) [New-AzureRmVirt...tewayConnection], CloudException
    + FullyQualifiedErrorId : Microsoft.Azure.Commands.Network.NewAzureVirtualNetworkGatewayConnectionCommand

Thanks, Alex