Fully managed firewall as a service including high availability and scale. It’s like our traditional on-premises firewall that Microsoft is managing for us in the Cloud.
With Azure Firewall, we can :
Control our outbound access to the internet just like a network security group (IP addressing protocol, port). We can call network rules within Azure Firewall service : Network Rules or Application Rules.
Control our inbound access (allow RDP access into VM → use public IP address of Azure Firewall itself – we create DNAT rules to allow that inbound access and to map the traffic onto VM for example) : DNAT Rules.