Denny Cherry walks us through gateway logging in Azure:
If you’ve ever set up an Azure Network Gateway for Site to Site or Person to Site VPNing you’ve probably wanted to be able to see logging from the gateway. In the Azure portal, you can see a Logs option, but all it does is tell you to set up log analytics and the link that it gives you is … less than helpful.
Denny, however, has helpful instructions, so check it out.