Hi,
We have it working in LAB as you described and as describd in the manual "CloudGuard Network for Azure High Availability Cluster Deployment Guide". Both inbound and outbound traffic works.
But the guide is very confusing in step 9 of the upgrade "Upgrading a Check Point CloudGuard Network Security High Availability Solution". They mention a new backend pool but a no point before step 9 do they instruct you to make a new pool.
Why do you actually talk a bout a new pool while you can reuse the existing pool and replace the gateway members to the new R81.20 nodes?
GUIDE:
8 Add the new Check Point CloudGuard Network Security High Availability's members to the backend pools:
For each Load Balancer used in the original solution, add the new members to the existing backend pools.
Make sure to select the right IP address (private internal for the backend Load Balancer and private external to the frontend Load Balancer).
9 Edit the backend rules to use only the new backend pool, then remove the checkbox marking the previous pool.