Thank you for reaching out.
I understand you are facing issues with BGP connectivity on your Azure VPN Gateway
From the screenshot I see that you are using an APIPA IP address (169.254.21.6) as the BGP Peer IP addresses. In this case as your on-premises VPN devices uses APIPA address for BGP, you must select an address from the Azure-reserved APIPA address range for VPN, which is from 169.254.21.0 to 169.254.22.255.
This option should be available on the Configure BGP section on Azure Portal. You can find more details on the configure BGP section here
Hope this helps! Please let me know if you have any additional questions or if the issue still persists. Thank you!
Please "Accept the answer" if the information helped you. This will help us and others in the community as well.