You have deployed a new Virtual Network Gateway in the Azure Portal and configured a Point-to-Site connection.
When you attempt to download the VPN Client you receive the error shown below,
File download error: Failed to dynamically fetch target download uri.
In my case I had deployed the Virtual Network Gateway and configured Point to Site VPN recently. The download started to work after about 30 minutes. It was just a matter of waiting.
Something else to check, ensure you have the permissions to download the client. The error can also indicate that you don’t have the permissions in Azure to download the VPN client. The network contributor role or higher will allow you to download the client. It’s not recommended that you assign this role to users incase you are wanting them to download the VPN client themselves via the Azure portal. The recommendation is that you create a client profile on a computer, export the profile and then import to other computers, that’s if you need to configure multiple computers. Downloading the client should be an admin task only.