Sharepoint on Azure connect with client

Hi,

We set up a sharepoint 2013 farm on Azure. The farm have a Fronte End server, a back end server and an sql server.

We allso have a DC server and avirtual net work connecting all of ouer servers.

Our Users connect from the client with a vpn to the Azure network and Connectiong to Sharepoint from the browser wich hold the user name and password for them.

Generaly this setup works ok but we do have to issues:

1. operations are slow some time and we get the "working on it ..." messege often. I guess its a network related issue since working on the server with RDP it works fine.

2. the office integration is slow, the document are slow to open and some times are failing to upload back to sharepoint when are saved from the office on the client.

Any body tried this setup on azure ?

Any ideas ?

Thanks