Unfortunately this can be quite common for FortiGate products. This is
purely from my anecdotal observations and I could be totally wrong but I
believe this one of the tradeoffs of having so many hardware models with
many different versions of custom...
So the "fast" Linux box is in Azure? But the other client is not? That
VPN tunnel is probably your bottleneck no? Maybe I'm not following here,
can you give some more details on the flow?
What about the NIC card or connectivity differences between the Linux
proxy and the windows client? Is the Linux a server with a 10G network
card and the windows is a wireless device?