The OpenSense website only had a guide of how to do this via Legacy which does not exist on the new firewall IPsec VTI – connect to Microsoft Azure — OPNsense documentation

OPNSense Side

Setup PreShared Key

Setup Connection

Local Address : Open Sense Public IP

Remote Address : Azure VPN Gateway IP

Add Local and Remote Authentication

Connection Name should be the one you created above

ID will be the IP of the Azure Gateway

Add the Child

Local : Local IP Subnets

Remote : Remote IP Subnets

Add the WAN IP Rules

Add the IPSEC Ip rules

Azure Side

Then use status overview to bring up manually