Adding a note here after feedback from R&D via Gil Frantsus:
"This is the information we received from RnD: The Azure Load Balancer does not support connection draining, which means that the connection will be lost, however, the Azure Application Gateway does support it.
The use of a Gateway Load Balancer is supported and mentioned in the Azure VMSS admin guide.
Refer to sk170304 for instructions on how to enable connection draining within CloudGuard Network Security. I added the SK to the Azure VMSS admin guide.
For Azure Application Gateway with connection draining support refer to https://learn.microsoft.com/en-us/azure/application-gateway/features."
Preview of sk170304:
"Solution
As of Autumn 2020, the Azure network load balancer from Microsoft does not support "connection draining", where the load balancer stops assigning connections to a node (for example, in preparation for maintenance or reboot).
If you would like this feature to be added to the Azure load balancer, contact Microsoft or your Microsoft partner and request it."
And gateway commands used during manual drain:
"fw tab -t connections -s
fw ctl get int cloud_balancer_port
fw ctl set int cloud_balancer_port 0
fw tab -t connections -s"
As always, refer to the SK for full details and new updates, and TAC for assistance, and of course Microsoft for draining feature where required.