VPN supports a maximum of 200 Mbps in its highest variant. This might not be sufficient in special scenarios involving higher data exchange. One can choose to span the workloads across multiple VNETs and add VPN connection to each of this segments needing connectivity.
Horizontal scaling refers to adding multiple VNET and Virtual network gateway segments to increase throughput. Vertical scaling refers to choosing from lower offering to higher offering within the VPN offers which is higher in terms of bandwidth and number of IPSEC tunnels supported.