I have an application that different clients will connect to on Azure. Each of my customers needs to connect to their Corresponding own Server ONLY in Azure from their local networks.
What kind of connection (P2S,S2S) can i create from each of my customers PC to connect ONLY with their Server in Azure?
According to your scenario, I think P2S is better for you.
Site-to-Site configurations are between your on-premises location and Azure. This means that you can connect from any of your computers located on your premises to any virtual machine or role instance within your virtual network, depending on how you choose to configure routing. This type of connection relies on an IPsec VPN appliance (hardware or soft appliance), which must be deployed at the edge of your network. To create this type of connection, you must have the required VPN hardware and an externally facing IPv4 address.
If my understanding is correct, your customers clients are not in one location, they have different private IP. Based on my knowledge, you could not use S2S VPN.
Point-to-Site configurations let you connect from a single computer from anywhere to anything located in your virtual network.
P2S VPN does not require a VPN device. It is better for your scenario.
More information about difference between a Site-to-Site connection and Point-to-Site please refer to this link.