The cloud is changing the way infrastructure is designed, including the design of firewalls, because the network isn't physical or in virtual LANs anymore. Not all features of a physical network are available in a virtual network (VNet). This includes the use of floating IP addresses or broadcast traffic and that influences the implementation of HA architectures. Load balancers for Network Virtual Appliances (NVAs) can/must be implemented in a certain way to achieve a highly available (HA) architecture within a virtual network. This guide presents a structured approach for designing HA firewalls (FWs) in Azure using third-party virtual appliances.

https://learn.microsoft.com/en-us/azure/architecture/networking/guide/network-virtual-appliances-architecture