Yes, what @PhoneBoy says is correct; CloudGuard for R80.40 has an incorrect partition layout for Azure. You cannot do in-place upgrade from R80.40 to anything higher. I have numerous CloudGuard gateways I manage for customers and I've tried to work around this, but it fails. You must deploy new gateways from the marketplace into a new resource group. If you have a frontend load-balancer configuration in use as well, then you will need to migrate all of these resources. This means you will also have to recreate your VNET peerings to the new VNET.
NOTE: If you have a Basic SKU load-balancer deployed now, for a single gateway, then you need to deploy a new load-balancer in the new resource group. The single gateway template does not deploy a load-balancer; the HA template does. However, be careful: You will want to deploy a Standard SKU load-balancer because Azure is ending support for Basic SKU objects in September 2025. If you have Basic SKU objects now, then you need to upgrade the Basic SKU IP addresses to Standard SKU IP addresses after you move them and before you can attach them to a Standard SKU load-balancer.
If you have a Standard SKU load-balancer (for a cluster), then you are ok.