Final answer:
Azure Virtual Network Gateway should be used to set up the connection between an on-premises VPN device and Azure.
Step-by-step explanation:
To set up the connection between an on-premises VPN device and Azure, Azure Virtual Network Gateway should be used.
Azure Virtual Network Gateway acts as a bridge between on-premises networks and Azure virtual networks, allowing secure communication between the two environments.
With Azure Virtual Network Gateway, the on-premises VPN device can establish a secure connection to Azure, enabling secure access to resources hosted in Azure.