Azure VPN Profile Sync
There should be a profile also that been installed. Its possible this just hasn't installed yet.
Can you try the following please:-
Open up 'Company Portal' app
You may need to sign in, if you do, use your Office 365 username and password.
If should look something like this once you are in:-
Click on the gear at the bottom left
Press the '[Sync]' button
This bit can take a few minutes, but it will tell you when its finished.
Close and restart the Azure VPN client
Hopefully now there should be the profile in there.
Note: the profile might not be called 'Kee Safety UK VPN' - mine is called 'grp-wan-vwan-001-dev-grp-vpn-vwan-uksouth-001-dev' (I have a slight different/earlier profile installed)