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Make sure you reboot after the registry change.If it still doesn't work I suggest connecting to a phone hotspot too just to eliminate any packet issues from your local firewall or ISP.
I deployed a vMX today and the default was the "Basic" public IP SKU so I didn't run into the UDP 500 and 4500 issue.Client VPN was failing to connect to my vMX. I was getting a Windows Error 809. I fixed it following the instructions in this docum...
