The question is, how did you configure your Azure firewall access?
Do you come via the Azure public IP of the frontend load balancer and LB NAT rules. That doesn't work.
You must use the Azure public IP of the cluster. And then there is the following to do:
1) In the Outgoing Route Selection section, select Operating system routing table option.
2) In the IPsec VPN section, go to Link Selection view. Under IP Selection by Remote Peer, select the Main address. Under Outgoing route Selection select Source IP address settings.
Maybe the settings will help.
Regards
Heiko
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