This article deals with setting up a VPN tunnel between Microsoft Azure and an on-premises Check Point Security Gateway. If you are interested in setting up a VPN tunnel between a Check Point Security Gateway in Azure and an on-premises Check Point Security Gateway, refer to sk109360 - Check Point Reference Architecture for Azure.
For a detailed walk through on setting up a Site-to-Site VPN, refer to sk53980 - How to set up a Site-to-Site VPN with a 3rd-party remote gateway.
When setting up the tunnel with Microsoft Azure, you will need to use the following settings. These settings are required by Microsoft Azure. For more information, refer to About VPN Devices for Virtual Network.
IKE Phase 1 setup
IKE Phase 2 setup