Please note that when you create a VNET Gateway, the default Virtual Network Gateway SKU is Basic. If you need higher level SKU for better gateway performance with some extra cost (check Azure pricing page for more detais), you can modify the VNET Gateway size to Standard or HighPerformace as below. You can change it back to any other value later. Please note that this change operation may lead to a few minutes of downtime in the gateway access.
$cred = Get-Credential
Login-AzureRmAccount -Credential $cred
Select-AzureRmSubscription -SubscriptionName "XXX"
$vnetgw = Get-AzureRMVirtualNetworkGateway -Name "YYY" -ResourceGroupName "ZZZ"
Resize-AzureRmVirtualNetworkGateway -VirtualNetworkGateway $vnetgw -GatewaySku "HighPerformance"
Get-AzureRMVirtualNetworkGateway -Name "YYY" -ResourceGroupName "ZZZ"