How to set up MS Azure VPN with the password authentication?

I'm trying to connect to the MS Azure VPN. I installed the Client certificate and got access to the VPN network.

But now I need, the system request the password when somebody is trying to connect to VPN.

I deleted the client certificate and imported it again with high security level. Now I'm getting the error every time when I try to connect:

A certificate could not be found that can be used with this Extensible Authentication Protocol. (Error 798) For customized troubleshooting information for this connection, click Help.

If I export the certificate without high security level again everything works okay.

Thanks for your help.

Little add-on.

My schema works on Windows 8 and 8.1 clients. I have set up "Enable strong private key protection" during certificat installation process. And now VNP requests to enter the password. But Win 7 client don't.

What is the difference between certificates storing in Windows 7 and 8?