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When these connections are created it only allows the Web App to talk to the datacenter. It does not enable full communication between the local server and the Web App running in Azure. Each hybrid connection correlates to a single TCP host and port combination. This means that the hybrid connection endpoint can be on any operating system and any application, provided you are hitting a TCP listening port. Hybrid connections do not know or care what the application protocol is or what you are accessing. It is simply providing network access.

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Cover of Exam Ref 70-533 Implementing Microsoft Azure Infrastructure Solutions

Note

Having this type of connection there's not need to user any type of VPN.