Q: Is Generic Routing Encapsulation supported in Azure Virtual Network and site-to-site VPN?

A: No. Azure Virtual Network and site-to-site VPN support standard IP-based protocols such as TCP, UDP, and ICMP (but not multicast or broadcast communications), but they don't support and in fact they block Generic Routing Encapsulation (GRE) packets. Behind the scenes, Azure Virtual Network actually leverages virtual networking for its own networking.